pk.extst {ExtremalDep}R Documentation

Pickands dependence function for the Extremal Skew-$t$ model.

Description

Evaluates the bivariate and trivariate Pickands dependence function for the extremal skew-$t$ model.

Usage

	pk.extst(x, param)

Arguments

x

a vector of length 2 or 3 that belongs to the corresponding simplex.

param

the parameter vector, containing the dependence, shape and df parameters.

Details

In the bivariate case, there is 1 dependence parameter, 2 shape parameters and a degree of freedom. In the trivariate case, there is 3 dependence parameter, 3 shape parameters and a degree of freedom. Dependence parameters must be between -1 and 1, the degree of freedom must be positive.

Author(s)

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

Examples


### Pickands dependence function for two-dimensional distribution

pk.extst(x=c(0.5,0.5), param=c(0.4,-2,4,3))

### Pickands dependence function for three-dimensional distribution
if (interactive()){
pk.extst(x=c(0.2,0.4,0.4), param=c(0.4,0.3,0.7,3,-1,0,2))
}


[Package ExtremalDep version 0.0.3-5 Index]