RTDE {RTDE} | R Documentation |
Data object used for a Tail Dependence model
Description
Data object used for a Tail Dependence model.
Usage
RTDE(obs=NULL, simu=list(), contamin=list(),
nbpoint, alpha, omega, method="MDPDE", fix.arg=list(rho=-1),
boundary.method="log", core=1, keepdata, control=list())
## S3 method for class 'RTDE'
print(x, ...)
## S3 method for class 'RTDE'
summary(object, ...)
## S3 method for class 'RTDE'
plot(x, which=1:3, FUN=mean, main, ...)
prob(object, q, ...)
## Default S3 method:
prob(object, q, ...)
## S3 method for class 'RTDE'
prob(object, q, ...)
Arguments
obs |
bivariate numeric dataset. |
simu |
a names list with components:
|
contamin |
a names list with components:
|
nbpoint |
a numeric for the number of largest points to be selected. |
alpha |
a numeric for the power divergence parameter. |
omega |
a numeric for omega, see section Details. |
method |
a character string equals to |
fix.arg |
a named list of fixed arguments:
either |
boundary.method |
a character string: either "log" or "simple", see section Details. |
core |
a numeric for the number of core to be used, only relevant for simulated data. |
keepdata |
a logical whether to return or not the dataset. |
control |
A list of control paremeters for |
x , object |
an R object inheriting from |
... |
arguments to be passed to subsequent methods. |
which |
an integer to specify what to plot: 1 eta, 2 delta, 3 probability estimates. |
FUN |
the function to be applied, default to |
main |
a main title for the plot. |
q |
vector of quantiles. |
Details
The function RTDE
handles (empirical or simulated) data
(cf. dataRTDE
)
and then fits a bivariate tail model using a method
criterion
(cf. fitRTDE
and MDPD
) based
on an extended Pareto distribution approximation (EPD
).
Typical distributions for simulated data and/or contaminations are
For a good introduction, please refer to references.
Value
RTDE
returns an object of class "RTDE"
having the following components:
obs.type
see
dataRTDE
.data
see
dataRTDE
.fit
see
fitRTDE
.simu
see
dataRTDE
.contamin
see
dataRTDE
.setting
a list summarizing the computation.
Author(s)
Christophe Dutang
References
C. Dutang, Y. Goegebeur, A. Guillou (2014), Robust and bias-corrected estimation of the coefficient of tail dependence, Volume 57, Insurance: Mathematics and Economics
This work was supported by a research grant (VKR023480) from VILLUM FONDEN and an international project for scientific cooperation (PICS-6416).
See Also
See fitRTDE
for the fitting process and
dataRTDE
for the data-handling process.
Examples
#####
# (1) simulation
n <- 100
x <- RTDE(simu=list(nb=n, marg="ufrechet", cop="indep", replicate=1),
nbpoint=10:11, alpha=0, omega=1/2)
x
summary(x)