Estimates the matrix with causal tail coefficients,
given a dataset dat, and a threshold k.
causal_tail_matrix(dat, k = floor(n^0.4), both_tails = TRUE)Numeric matrix. Dataset matrix with n
rows (observations) and p columns (variables).
Positive integer. The number of extreme observations used to
compute the causal tail coefficient. Set by default to
k = floor(n^0.4). It must be greater than 1 and smaller
than n.
Boolean. Do you consider both tails when computing the
causal tail coefficient? If both_tails = TRUE, then you use the
\(\Psi\) formulation. If both_tails = FALSE,
then you use the \(\Gamma\) formulation.
Set by default to TRUE.
Numeric matrix. The entry \((i, j)\) contains the
causal tail coefficient between the \(i\)-th and the \(j\)-th
column of dat. The values on the main diagonal are set to NA.
For more information see the documentation of
causal_tail_coeff.