chi.bsn {ExtremalDep} | R Documentation |
Evaluates the upper and lower tail dependence coefficients for the bivariate skew-normal.
chi.bsn(u, corr=0, shape=rep(0,2), tail="upper")
u |
a real value in [0,1]. |
corr |
the correlation parameter, between -1 and 1. |
shape |
a numeric vector of real values of length 2 with the skewness parameters. |
tail |
the string |
Approximation, the tail dependence is obtained in the limiting case where u
u goes to eqn11.
Returns a value that is strictly greater than 0 and less than 1 for the upper coefficient, and between -1 and 1 for the lower coefficient.
Simone Padoan, simone.padoan@unibocconi.it, http://faculty.unibocconi.it/simonepadoan; Boris Beranger, borisberanger@gmail.com http://www.borisberanger.com;
Bortot, P. Tail dependence in bivariate skew-normal and skew-t distributions. Unpublished.
### Upper tail dependence chi.bsn(u=0.9,corr=0.5, shape=c(1,-2), tail="upper") ### Lower tail dependence chi.bsn(u=0.9, corr=0.5, shape=c(1,-2), tail="lower")