FDGcopulas (version 1.0)

utdcFDG: Upper tail dependence coefficient of FDG copulas

Description

Calculates the upper tail dependence coefficient of FDG copulas.

Usage

utdcFDG(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, ltdcFDG

Examples

## FDG copula with 'exponential' generators
myFDGcopula <- FDGcopula("exponential", 1:4)
utdcFDG(myFDGcopula) # upper tail independent
## FDG copula with 'sinus' generators
mySinus <- FDGcopula("sinus", c(.9,1.2,1.3,1.55))
utdcFDG(mySinus)