chi.extst {ExtremalDep} R Documentation

## Tail dependence coefficient for the Extremal Skew-$t$ model

### Description

Evaluates the upper and lower tail dependence coefficients for the bivariate Extremal Skew-$t$ model.

### Usage

	chi.extst(corr=0, shape=rep(0,2), df=1, tail="upper")


### Arguments

 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 "upper" or "lower".

### Value

Returns a value that is strictly greater than 0 and less than 1.

### References

Padoan, S. A. (2011). Multivariate extreme models based on underlying skew-t and skew-normal distributions. Journal of Multivariate Analysis, 102(5), 977-991.

### Examples


### 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")



[Package ExtremalDep version 0.0.3-5 Index]