FRAPO (version 0.4-1)

tdc: Tail Dependence Coefficient

Description

This function returns the pairwise tail dependence coefficients between $N$ series. The TDCs are estimated non-parametrically by either the empirical tail copula or based on the stable tail-dependence function.

Usage

tdc(x, method = c("EmpTC", "EVT"), lower = TRUE, k = NULL, ...)

Arguments

x

Matrix, or an object that can be coerced to it.

method

Character, the type of non-parametric estimation.

lower

Logical, if TRUE (default), lower TDC are computed and upper TDC, else.

k

Integer, the threshold value for the order statistic. If left NULL, then k = sqrt(nrow(x)) is used.

...

Ellipsis, arguments are passed down to rank.

Value

A matrix with the tail dependent coefficients.

Details

For a matrix or an object that can be coerced to it with ncol(x) >= 2, the pair wise tail dependencies are estimated non-parametrically and returned as a symmetric matrix. The threshold value k is the upper/lower bound for the order statistics to be considered. The diagonal elements are always equal to one, because a series has a dependence of one with itself, of course.

References

Schmidt, R. and Stadtm\"uller, U., Nonparametric estimation of tail dependence, The Scandinavian Journal of Statistics, 33, 307--335.

See Also

PMTD

Examples

data(StockIndex)
Rets <- returnseries(StockIndex, method = "discrete", trim = TRUE,
                     percentage = TRUE)
tdc(Rets, method = "EmpTC")
tdc(Rets, method = "EVT")