bb1_tau2eqtd

BB1, given 0&lt;tau&lt;1, find theta and delta with equal lower/upper tail dependence

Inference methods for factor copula models for continuous data in Krupskii and Joe (2013) <doi:10.1016/j.jmva.2013.05.001>, Krupskii and Joe (2015) <doi:10.1016/j.jmva.2014.11.002>, Fan and Joe (2024) <doi:10.1016/j.jmva.2023.105263>, one factor truncated vine models in Joe (2018) <doi:10.1002/cjs.11481>, and Gaussian oblique factor models. Functions for computing tail-weighted dependence measures in Lee, Joe and Krupskii (2018) <doi:10.1080/10485252.2017.1407414> and estimating tail dependence parameter.

Pavel Krupskii

FactorCopulaModel

Factor Copula Models

Harry Joe

Xinyao Fan

Allan Macleod

Robert Gentleman

Ross Ihaka

bb1_tau2eqtd function

<dl><dt>tau</dt>
<dd>Kendall tau value</dd><dt>destart</dt>
<dd>starting point for delta</dd><dt>mxiter</dt>
<dd>maximum number of iterations</dd><dt>eps</dt>
<dd>tolerance for convergence</dd><dt>iprint</dt>
<dd>print flag for iterations</dd></dl>

Arguments

BB1, given 0&lt;tau&lt;1, find theta and delta with lower tail dependence equal upper tail dependence — bb1_tau2eqtd

<dl>

<dt>tau</dt>
<dd>Kendall tau value</dd>

<dt>destart</dt>
<dd>starting point for delta</dd>

<dt>mxiter</dt>
<dd>maximum number of iterations</dd>

<dt>eps</dt>
<dd>tolerance for convergence</dd>

<dt>iprint</dt>
<dd>print flag for iterations</dd>

</dl>

bb1_tau2eqtd: BB1, given 0<tau<1, find theta and delta with lower tail dependence equal upper tail dependence

Description

Usage

Value

Arguments

Examples