FDGcopulas (version 1.0)

ltdcFDG: Lower tail dependence coefficient of FDG copulas

Description

Calculates the lower tail dependence coefficient of FDG copulas.

Usage

ltdcFDG(FDGcopula)

Arguments

FDGcopula

the FDG copula class object

Value

A matrix of size 'd' times 'd', where 'd' is the dimension of the copula. The element in the i-th row and j-th column is the dependence coefficient of the i-th and j-th variable.

References

Mazo G., Girard, S., Forbes, F. A flexible and tractable class of one-factor copulas, http://hal.archives-ouvertes.fr/hal-00979147

See Also

rhoFDG, tauFDG, utdcFDG

Examples

## FDG copula with 'exponential' generators
myExpo <- FDGcopula("exponential", 1:4)
ltdcFDG(myExpo) 

## FDG copula with Cuadras-Auge generators
myCA <- FDGcopula("cuadrasauge", c(.3,.5,.7,.9))
ltdcFDG(myCA) # lower tail independent