dens_extr_mod {ExtremalDep}

R Documentation

Density of extremal dependence models

Description

Evaluates the bivariate density of the Extremal-$t$ and Extremal Skew-$t$ models.

Usage

	dens_extr_mod(model, z, param, log=TRUE)

Arguments

model	A string with the name of the model: "Extremalt" or "Skewt".
z	A vector of length 2, containing strictly positive reals.
param	A vector containing the parameters of the model. See Details.
log	Logical; if TRUE the log-density is returned. FALSE is the default.

Details

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.

Value

Returns a single value corresponding to the density or the log-density.

Author(s)

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

References

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.

Examples

### 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)

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