ExtremalDep (version 0.0.3-3)

pk.extst: Pickands dependence function for the Extremal Skew-$t$ model.

Description

Evaluates the bivariate and trivariate Pickands dependence function for the extremal skew-$t$ model.

Usage

pk.extst(x, param)

Arguments

x

a vector of length \(2\) or \(3\) that belongs to the corresponding simplex.

param

the parameter vector, containing the dependence, shape and df parameters.

Details

In the bivariate case, there is \(1\) dependence parameter, \(2\) shape parameters and a degree of freedom. In the trivariate case, there is \(3\) dependence parameter, \(3\) shape parameters and a degree of freedom. Dependence parameters must be between \(-1\) and \(1\), the degree of freedom must be positive.

Examples

# NOT RUN {
### Pickands dependence function for two-dimensional distribution

pk.extst(x=c(0.5,0.5), param=c(0.4,-2,4,3))

### Pickands dependence function for three-dimensional distribution
# }
# NOT RUN {
pk.extst(x=c(0.2,0.4,0.4), param=c(0.4,0.3,0.7,3,-1,0,2))	
# }
# NOT RUN {
# }