stdfEmpInt function

Integrated empirical stable tail dependence function

Analytical implementation of the integral of the bivariate stable tail dependence function over the unit square.

stdfEmpInt(ranks, k)

Arguments

• ranks: A n x 2 matrix, where each column is a permutation of the integers 1:n, representing the ranks computed from a sample of size n.
• k: An integer between 1 and $n - 1$; the threshold parameter in the definition of the empirical stable tail dependence function.#' @return A scalar.

Returns

A positive scalar.

Examples

ranks <- cbind(sample(1:20), sample(1:20))
stdfEmpInt(ranks, k = 5)

References

Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016). An Mestimator of spatial tail dependence. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 78(1), 275-298.