ExtremalDep (version 0.0.3-3)

chi.bsn: Tail dependence coefficient for the skew-normal distirbution

Description

Evaluates the upper and lower tail dependence coefficients for the bivariate skew-normal.

Usage

chi.bsn(u, corr=0, shape=rep(0,2), tail="upper")

Arguments

u

a real value in \([0,1]\).

corr

the correlation parameter, between \(-1\) and \(1\).

shape

a numeric vector of real values of length \(2\) with the skewness parameters.

tail

the string "upper" or "lower".

Value

Returns a value that is strictly greater than \(0\) and less than \(1\) for the upper coefficient, and between \(-1\) and \(1\) for the lower coefficient.

Details

Approximation, the tail dependence is obtained in the limiting case where uu goes to eqn11.

References

Bortot, P. Tail dependence in bivariate skew-normal and skew-t distributions. Unpublished.

Examples

# NOT RUN {
### Upper tail dependence

# }
# NOT RUN {
chi.bsn(u=0.9,corr=0.5, shape=c(1,-2), tail="upper")	
# }
# NOT RUN {
### Lower tail dependence

# }
# NOT RUN {
chi.bsn(u=0.9, corr=0.5, shape=c(1,-2), tail="lower")	
# }
# NOT RUN {
# }