Upper tail dependence coefficient

lambda_U = lim_{u->1-} (1 - 2u + C(u,u)) / (1 - u), estimated by Coles' chi(u) diagnostic, which converges to exactly this limit. A thin alias for ChiDep: the estimator already exists and is not duplicated here.

Usage

Tldepu(y, copula, theta = 0.95)

Arguments

y

Numeric vector, first margin.

copula

Numeric vector, second margin (equal length).

theta

Threshold in (0, 1), default 0.95.

Value

List with estimate, u, n, method.

References

Joe, H. (1997). Multivariate Models and Multivariate Dependence Concepts. Chapman and Hall, section 2.1.10. Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer, section 8.4.

Examples

Tldepu(1:20, 1:20, 0.5)
#> $estimate
#> [1] 1
#> 
#> $u
#> [1] 0.5
#> 
#> $n
#> [1] 20
#> 
#> $method
#> [1] "upper tail dependence via empirical chi(u) [Joe 1997; Coles 2001]"
#>