chi.extst

the correlation parameter, between $-1$ and $1$.

corr

a numeric skewness vector of length $2$.

shape

a single positive value representing the degree of freedom.

the string <code>"upper"</code> or <code>"lower"</code>.

tail

Evaluates the upper and lower tail dependence coefficients for the bivariate Extremal Skew-$t$ model.

models

A set of procedures for modelling parametrically and non-parametrically the dependence structure of multivariate extreme-values is provided. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and Bayesian techniques. Adapts the methodologies derived in Beranger et al. (2019) <arxiv:1904.08251>, Beranger et al. (2017) <doi:10.1111/sjos.12240>, Beranger and Padoan (2015) <arxiv:1508.05561>, Marcon et al. (2017) <doi:10.1002/sta4.145>, Marcon et al. (2017) <doi:10.1016/j.jspi.2016.10.004> and Marcon et al. (2016) <doi:10.1214/16-EJS1162>. It also refers to the works of Bortot (2010) <https://www.semanticscholar.org/paper/Tail-dependence-in-bivariate-skew-Normal-and-skew-t-Bortot/b0dc1cb608d35bf515c76e39aacc14b4de82e281?p2df>, Padoan (2011) <doi:10.1016/j.jmva.2011.01.014>, Cooley et al. (2010) <doi:10.1016/j.jmva.2010.04.007>, Husler and Reiss (1989) <doi:10.1016/0167-7152(89)90106-5>, Engelke et al. (2015) <doi:10.1111/rssb.12074>, Coles and Tawn (1991) <doi:10.1111/j.2517-6161.1991.tb01830.x>, Nikoloulopoulos et al. (2011) <doi:10.1007/s10687-008-0072-4>, Opitz (2013) <doi:10.1016/j.jmva.2013.08.008>, Tawn (1990) <doi:10.2307/2336802>, Azzalini and Capitanio (2014) <doi:10.1017/CBO9781139248891>, Azzalini (2003) <doi:10.1111/1467-9469.00322>, Azzalini and Capitanio (1999) <doi:10.1111/1467-9868.00194>, Azzalini and Dalla Valle (1996) <doi:10.1093/biomet/83.4.715>, Einmahl et al. (2013) <doi:10.1007/s10687-012-0156-z>, Naveau et al (2009) <doi:10.1093/biomet/asp001> and Heffernan and Tawn (2004) <doi:10.1111/j.1467-9868.2004.02050.x>.

Simone Padoan

ExtremalDep

Extremal Dependence Models

Boris Beranger

Giulia Marcon

Steven G. Johnson

chi.extst function

<dl>	<dt>corr</dt>
<dd>the correlation parameter, between $-1$ and $1$.</dd>	<dt>shape</dt>
<dd>a numeric skewness vector of length $2$.</dd>	<dt>df</dt>
<dd>a single positive value representing the degree of freedom.</dd>	<dt>tail</dt>
<dd>the string <code>"upper"</code> or <code>"lower"</code>.</dd></dl>

Arguments

Simone Padoan, <a href="/link/simone.padoan%40unibocconi.it?package=ExtremalDep&version=0.0.3-5" data-mini-rdoc="ExtremalDep::simone.padoan@unibocconi.it">simone.padoan@unibocconi.it</a>,
	<a href="https://mypage.unibocconi.it/simonepadoan/">https://mypage.unibocconi.it/simonepadoan/</a>;
	Boris Beranger, <a href="/link/borisberanger%40gmail.com?package=ExtremalDep&version=0.0.3-5" data-mini-rdoc="ExtremalDep::borisberanger@gmail.com">borisberanger@gmail.com</a>
	<a href="https://www.borisberanger.com/">https://www.borisberanger.com/</a>;

Author

Tail dependence coefficient for the Extremal Skew-$t$ model — chi.extst

<dl>

	<dt>corr</dt>
<dd>the correlation parameter, between $-1$ and $1$.</dd>

	<dt>shape</dt>
<dd>a numeric skewness vector of length $2$.</dd>

	<dt>df</dt>
<dd>a single positive value representing the degree of freedom.</dd>

	<dt>tail</dt>
<dd>the string <code>"upper"</code> or <code>"lower"</code>.</dd>

</dl>

Simone Padoan, <a href='mailto:simone.padoan@unibocconi.it'>simone.padoan@unibocconi.it</a>,
	<a href='https://mypage.unibocconi.it/simonepadoan/'>https://mypage.unibocconi.it/simonepadoan/</a>;
	Boris Beranger, <a href='mailto:borisberanger@gmail.com'>borisberanger@gmail.com</a>
	<a href='https://www.borisberanger.com/'>https://www.borisberanger.com/</a>;

chi.extst: Tail dependence coefficient for the Extremal Skew-$t$ model

Description

Usage

Value

Arguments

Author

References

Examples