chi.bsn {ExtremalDep}R Documentation

Tail dependence coefficient for the skew-normal distirbution

Description

Evaluates the upper and lower tail dependence coefficients for the bivariate skew-normal.

Usage

	chi.bsn(u, corr=0, shape=rep(0,2), tail="upper")

Arguments

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 "upper" or "lower".

Details

Approximation, the tail dependence is obtained in the limiting case where uu goes to eqn11.

Value

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.

Author(s)

Simone Padoan, simone.padoan@unibocconi.it, https://mypage.unibocconi.it/simonepadoan/; Boris Beranger, borisberanger@gmail.com https://www.borisberanger.com/;

References

Bortot, P. Tail dependence in bivariate skew-normal and skew-t distributions. Unpublished.

Examples


### Upper tail dependence

if (interactive()){
chi.bsn(u=0.9,corr=0.5, shape=c(1,-2), tail="upper")
}

### Lower tail dependence

if (interactive()){
chi.bsn(u=0.9, corr=0.5, shape=c(1,-2), tail="lower")
}


[Package ExtremalDep version 0.0.3-5 Index]