stdfEmpInt: Integrated empirical stable tail dependence function

In tailDepFun: Minimum Distance Estimation of Tail Dependence Models

Description

Analytical implementation of the integral of the bivariate stable tail dependence function over the unit square.

Usage

stdfEmpInt(ranks, k)

Arguments

ranks	A n x 2 matrix, where each column is a permutation of the integers 1:n, representing the ranks computed from a sample of size n.
k	An integer between 1 and n - 1; the threshold parameter in the definition of the empirical stable tail dependence function.#' @return A scalar.

Value

A positive scalar.

References

Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016). An Mestimator of spatial tail dependence. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 78(1), 275-298.

Examples

ranks <- cbind(sample(1:20), sample(1:20))
stdfEmpInt(ranks, k = 5)

tailDepFun documentation built on June 3, 2021, 5:10 p.m.