Bv.LT.Dep: Fits bivariate joint tail model

In mobirep: Models Bivariate Dependence and Produces Bivariate Return Periods

Description

Take data on uniform margins and fit the Ledford and Tawn (1997) joint tail model. Also contains the method where additional information from values that are extreme in at most one variable is used.

Usage

Bv.LT.Dep(
  data,
  mod.thresh.u,
  crit.lev.u,
  sig.lev = 0.05,
  ci.meth = "se",
  marg.inf = F
)

Arguments

data	Two column data frame with values given on uniform margins
mod.thresh.u	Modelling threshold on uniform margin
crit.lev.u	Critical level on uniform margin
sig.lev	Significance level for confidence intervals (default 0.05 for 95% confidence interval)
ci.meth	Method to use to obtain confidence intervals, 'se' for standard error confidence intervals and 'pl' for profile likelihood confidence intervals
marg.inf	Is additional marginal information from points that are extreme in only one variable used? FALSE gives Ledford and Tawn (1997) result, TRUE gives results using Section 2.4.2 from Hugo Winter's thesis.

Value

Estimates of two dependence parameters with confidence intervals:

• threshold dependent extremal dependence measure

• threshold dependent coefficient of tail dependence

mobirep documentation built on April 22, 2021, 5:07 p.m.