ExtremalDep (version 0.0.3-3)

dens_extr_mod: Density of extremal dependence models

Description

Evaluates the bivariate density of the Extremal-$t$ and Extremal Skew-$t$ models.

Usage

dens_extr_mod(model, z, param, log=TRUE)

Arguments

model

A string with the name of the model: "Extremalt" or "Skewt".

z

A vector of length \(2\), containing strictly positive reals.

param

A vector containing the parameters of the model. See Details.

log

Logical; if TRUE the log-density is returned. FALSE is the default.

Value

Returns a single value corresponding to the density or the log-density.

Details

If model="Extremalt" then the parameter vector is made of one dependence parameter and a degree of freedom. If model="Skewt" then the parameter vector is made of one dependence parameter, two shape (or skewness) parameters and a degree of freedom.

References

Beranger, B., Padoan, S. A. and Sisson, S. A. (2017). Models for extremal dependence derived from skew-symmetric families. Scandinavian Journal of Statistics, 44(1), 21-45.

Examples

# NOT RUN {
### Extremal-t

dens_extr_mod(model="Extremalt", z=c(0.1,0.3), param=c(0.6,1),log=FALSE)

### Extremal Skew-t

dens_extr_mod(model="Skewt", z=c(0.1,0.3), param=c(0.6,0,0,1),log=FALSE)
dens_extr_mod(model="Skewt", z=c(0.1,0.3), param=c(0.6,-3,5,1),log=FALSE)

# }