tailconCOP {copBasic} | R Documentation |
The Tail Concentration Function of a Copula
Description
Compute the tail concentration function () of a copula
(
COP
) or diagnonal (diagCOP
) of a copula according to Durante and Semp (2015, p. 74):
where is a nonexceedance probability on the margins and
is an indicator function scoring 1 if condition is true otherwise zero on what interval
resides:
or
. The
for all
for the
M
copula and for all
for the
W
copula. Lastly, the function is related to the Blomqvist Beta (;
blomCOP
) by
where . Lastly, the
for
is
NaN
and no provision for alternative return is made. Readers are asked to note some of the mathematical similarity in this function to Blomqvist Betas in blomCOPss
in regards to tail dependency.
Usage
tailconCOP(t, cop=NULL, para=NULL, ...)
Arguments
t |
Nonexceedance probabilities |
cop |
A copula function; |
para |
Vector of parameters or other data structure, if needed, to pass to the copula; and |
... |
Additional arguments to pass to the copula function. |
Value
Value(s) for are returned.
Author(s)
W.H. Asquith
References
Durante, F., and Sempi, C., 2015, Principles of copula theory: Boca Raton, CRC Press, 315 p.
See Also
Examples
tailconCOP(0.5, cop=PSP) == (1 + blomCOP(cop=PSP)) / 2 # TRUE