chi.extst {ExtremalDep} | R Documentation |
Evaluates the upper and lower tail dependence coefficients for the bivariate Extremal Skew-$t$ model.
chi.extst(corr=0, shape=rep(0,2), df=1, tail="upper")
corr |
the correlation parameter, between -1 and 1. |
shape |
a numeric skewness vector of length 2. |
df |
a single positive value representing the degree of freedom. |
tail |
the string |
Returns a value that is strictly greater than 0 and less than 1.
Simone Padoan, simone.padoan@unibocconi.it, http://faculty.unibocconi.it/simonepadoan; Boris Beranger, borisberanger@gmail.com http://www.borisberanger.com;
Padoan, S. A. (2011). Multivariate extreme models based on underlying skew-t and skew-normal distributions. Journal of Multivariate Analysis, 102(5), 977-991.
### Upper tail dependence chi.extst(corr=0.5, shape=c(1,-2), df=2, tail="upper") ### Lower tail dependence chi.extst(corr=0.5, shape=c(1,-2), df=2, tail="lower")