Library: | VaR |
See also: | TailCoeffEstimation TailCoeffCopula TailCoeffLookup |
Quantlet: | TailCoeffEstimElliptical | |
Description: | estimates the upper (=lower) tail-dependence coefficient for an elliptically contoured distribution. |
Usage: | TDC = TailCoeffEstimElliptical(data, threshold) | |
Input: | ||
data | n x 2 matrix, data matrix | |
threshold | scalar, number of exceedances | |
Output: | ||
TDC | scalar, upper tail-dependence coefficient |
If the estimated TDC is too small an error message occurs.
library("VaR") library("finance") randomize(1) data = qft(uniform(500,2),2) TDC=TailCoeffEstimElliptical(data,30) TDC
Plots tail-dependence coefficients. Contents of TDC [1,] 0.27171