stdfEmpInt: Integrated empirical stable tail dependence function
Description
Analytical implementation of the integral of the bivariate stable tail dependence function over the unit square.
Usage
stdfEmpInt(ranks, k)
Arguments
ranks
A n x 2 matrix, where each column is a permutation of the integers 1:n, representing the ranks computed from a sample of size n.
k
An integer between 1 and $n - 1$; the threshold parameter in the definition of the empirical stable tail dependence function.#' @return A scalar.
References
Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016). An Mestimator of spatial tail dependence. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 78(1), 275-298.