dens_extr_mod {ExtremalDep} | R Documentation |
Evaluates the bivariate density of the Extremal-$t$ and Extremal Skew-$t$ models.
dens_extr_mod(model, z, param, log=TRUE)
model |
A string with the name of the model: |
z |
A vector of length 2, containing strictly positive reals. |
param |
A vector containing the parameters of the model. See Details. |
log |
Logical; if |
If model="Extremalt"
then the parameter vector is made of one dependence parameter and a degree of freedom.
If model="Skewt"
then the parameter vector is made of one dependence parameter, two shape (or skewness) parameters and a degree of freedom.
Returns a single value corresponding to the density or the log-density.
Simone Padoan, simone.padoan@unibocconi.it, http://faculty.unibocconi.it/simonepadoan; Boris Beranger, borisberanger@gmail.com http://www.borisberanger.com;
Beranger, B., Padoan, S. A. and Sisson, S. A. (2017). Models for extremal dependence derived from skew-symmetric families. Scandinavian Journal of Statistics, 44(1), 21-45.
### Extremal-t dens_extr_mod(model="Extremalt", z=c(0.1,0.3), param=c(0.6,1),log=FALSE) ### Extremal Skew-t dens_extr_mod(model="Skewt", z=c(0.1,0.3), param=c(0.6,0,0,1),log=FALSE) dens_extr_mod(model="Skewt", z=c(0.1,0.3), param=c(0.6,-3,5,1),log=FALSE)