Zmatrix

Copied from the R package "golazo" with kind permission by Piotr Zwiernik <a href="/link/piotr.zwiernik%40utoronto.ca?package=graphicalExtremes&version=0.3.2" data-mini-rdoc="graphicalExtremes::piotr.zwiernik@utoronto.ca">piotr.zwiernik@utoronto.ca</a>.
This function outputs the Z matrix, that is, the unique ultrametric matrix dominating S.
This matrix is used to construct a starting point in the GOLAZO algorithm when L=0 but U has strictly positive (off-diagonal entries).

internal

Statistical methodology for sparse multivariate extreme value models. Methods are
provided for exact simulation and statistical inference for multivariate Pareto distributions
on graphical structures as described in the paper 'Graphical Models for Extremes' by
Engelke and Hitz (2020) <doi:10.1111/rssb.12355>.

Sebastian Engelke

graphicalExtremes

Statistical Methodology for Graphical Extreme Value Models

Adrien S. Hitz

Nicola Gnecco

Manuel Hentschel

Zmatrix function

<dl><dt>S</dt>
<dd>a covariance matrix</dd></dl>

Arguments

Copied from the R package "golazo" with kind permission by Piotr Zwiernik <a href='mailto:piotr.zwiernik@utoronto.ca'>piotr.zwiernik@utoronto.ca</a>.
This function outputs the Z matrix, that is, the unique ultrametric matrix dominating S.
This matrix is used to construct a starting point in the GOLAZO algorithm when L=0 but U has strictly positive (off-diagonal entries).

Computes the Z-matrix — Zmatrix

<dl>

<dt>S</dt>
<dd>a covariance matrix</dd>

</dl>

Zmatrix: Computes the Z-matrix

Description

Usage

Arguments