dependence_measures: Calculates Kendall's tau, upper tail dependence, and lower...
In LucasDowiak/dynocopula: Implementation of markov switching, smooth transition, and sequential break point copulas
dependence_measures R Documentation
Calculates Kendall's tau, upper tail dependence, and lower tail dependence
for a given copula.
Description
Calculates Kendall's tau, upper tail dependence, and lower tail dependence
for a given copula.
Usage
dependence_measures(pars, fam1, fam2 = NULL)
Arguments
pars
A vector of relevant parameter values
fam1
An integer representing the family of the first component copula.
fam2
An integer representing the family of the second component copula.
Defaults to NULL
Details
Providing only fam1 indicates that the user wants the
dependence values for a single coplula. Providing both fam1 and
fam2 will return the dependence measures for a mixture copula.
Value
A list of:
upper and lower tail-dependence values
Kendall's tau
LucasDowiak/dynocopula documentation built on April 12, 2024, 1:32 p.m.
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| dependence_measures | R Documentation |
Calculates Kendall's tau, upper tail dependence, and lower tail dependence for a given copula.
Description
Calculates Kendall's tau, upper tail dependence, and lower tail dependence for a given copula.
Usage
dependence_measures(pars, fam1, fam2 = NULL)
Arguments
pars |
A vector of relevant parameter values |
fam1 |
An integer representing the family of the first component copula. |
fam2 |
An integer representing the family of the second component copula.
Defaults to |
Details
Providing only fam1 indicates that the user wants the
dependence values for a single coplula. Providing both fam1 and
fam2 will return the dependence measures for a mixture copula.
Value
A list of:
upper and lower tail-dependence values
Kendall's tau
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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