| 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