Nothing
##
## Tail dependence coefficient
## (non-parametric estimation)
##
tdc <- function(x, method = c("EmpTC", "EVT"), lower = TRUE, k = NULL, ...){
x <- as.matrix(x)
ifelse(is.null(k), k <- floor(sqrt(nrow(x))), k <- as.integer(k))
method = match.arg(method)
m <- nrow(x)
N <- ncol(x)
idx <- combn(1:N, 2)
r <- apply(x, 2, rank, ...)
if(method == "EmpTC"){
if(lower){
td <- apply(idx, 2, function(y)
sum((r[, y[1]] <= k) & (r[, y[2]] <= k)) / k)
} else {
td <- apply(idx, 2, function(y)
sum((r[, y[1]] > m - k) & (r[, y[2]] > m - k)) / k)
}
}
if(method == "EVT"){
if(lower){
td <- apply(idx, 2, function(y)
2 - sum((r[, y[1]] <= k) | (r[, y[2]] <= k)) / k)
} else {
td <- apply(idx, 2, function(y)
2 - sum((r[, y[1]] > m - k) | (r[, y[2]] > m - k)) / k)
}
}
tdm <- diag(N)
tdm[t(idx)] <- td
tdm[lower.tri(tdm)] <- td
colnames(tdm) <- rownames(tdm) <- colnames(x)
return(tdm)
}
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