| Library: | VaR |
| See also: | TailCoeffEstimElliptical TailCoeffCopula TailCoeffLookup |
| Quantlet: | TailCoeffEstimation | |
| Description: | estimates the upper or lower tail-dependence coefficient via a bivariate empirical copula. |
| Usage: | TDC = TailCoeffEstimation(data, threshold, upper) | |
| Input: | ||
| data | n x 2 matrix, data matrix | |
| threshold | scalar, number of exceedances | |
| upper | string, either "upper" or "lower", specifies whether the upper or lower tail-dependence coefficient should be estimated | |
| Output: | ||
| TDC | scalar, upper or lower tail-dependence coefficient | |
library("VaR")
randomize(1)
data=VaRsimcopula(1000,1,1,2,4)
TDC=TailCoeffEstimation(data,82,"upper")
TDC
Plots graph of upper-tail dependence coefficient. Contents of TDC [1,] 0.56098