tdc {FRAPO} | R Documentation |
This function returns the pairwise tail dependence coefficients
between N
series. The TDCs are estimated non-parametrically by
either the empirical tail copula or based on the stable
tail-dependence function.
tdc(x, method = c("EmpTC", "EVT"), lower = TRUE, k = NULL, ...)
x |
Matrix, or an object that can be coerced to it. |
method |
Character, the type of non-parametric estimation. |
lower |
Logical, if |
k |
Integer, the threshold value for the order statistic. If left
|
... |
Ellipsis, arguments are passed down to |
For a matrix or an object that can be coerced to it with ncol(x)
>= 2
, the pair wise tail dependencies are estimated
non-parametrically and returned as a symmetric matrix. The threshold
value k
is the upper/lower bound for the order statistics to be
considered. The diagonal elements are always equal to one, because a
series has a dependence of one with itself, of course.
A matrix with the tail dependent coefficients.
Bernhard Pfaff
Schmidt, R. and Stadtm\"uller, U., Nonparametric estimation of tail dependence, The Scandinavian Journal of Statistics, 33, 307–335.
data(StockIndex)
Rets <- returnseries(StockIndex, method = "discrete", trim = TRUE,
percentage = TRUE)
tdc(Rets, method = "EmpTC")
tdc(Rets, method = "EVT")