Gildas Mazo
2014-Oct-28 10:23 UTC
[R] Nonparametric Estimation of Tail Dependence Coefficients
Dear all, in which package can I find an implementation of the nonparametric estimation of tail dependence coefficients: lambda_L = lim_{u\to 0} P[F_1(X_1)<u|F_2(X_2)<u] lambda_U = lim_{u\to 1} P[F_1(X_1)>u|F_2(X_2)>u], where (X_1,X_2) has marginal distribution functions F_1 and F_2? (The nonparametric estimators typically require to choose a tuning parameter, often called 'k', which can be automated by using a 'plateau finding' algorithm, which I would like to be implemented as well). Thank you very much for your help, Gildas