ltdcFDG: Lower tail dependence coefficient of FDG copulas

Description Usage Arguments Value Author(s) References See Also Examples

Description

Calculates the lower tail dependence coefficient of FDG copulas.

Usage

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Arguments

FDGcopula

the FDG copula class object

Value

A matrix of size 'd' times 'd', where 'd' is the dimension of the copula. The element in the i-th row and j-th column is the dependence coefficient of the i-th and j-th variable.

Author(s)

Gildas Mazo

References

Mazo G., Girard, S., Forbes, F. A flexible and tractable class of one-factor copulas, http://hal.archives-ouvertes.fr/hal-00979147

See Also

rhoFDG, tauFDG, utdcFDG

Examples

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## FDG copula with 'exponential' generators
myExpo <- FDGcopula("exponential", 1:4)
ltdcFDG(myExpo) 

## FDG copula with Cuadras-Auge generators
myCA <- FDGcopula("cuadrasauge", c(.3,.5,.7,.9))
ltdcFDG(myCA) # lower tail independent

FDGcopulas documentation built on May 2, 2019, 6:18 a.m.