Dependence measures of a bivariate copula

Computes the four corner tail-dependence coefficients or Blomqvist's beta for a bivariate copula distribution.

Usage

tail_dep(object)

blomqvist_beta(object)

Arguments

object

a bicop_dist or fitted bicop object.

Value

tail_dep() returns a 2 by 2 matrix whose rows refer to the lower and upper tail of the first variable and whose columns refer to the lower and upper tail of the second variable. blomqvist_beta() returns a numeric scalar.

Examples

cop <- bicop_dist("clayton", 0, 2)
tail_dep(cop)
#>          variable2
#> variable1     lower upper
#>     lower 0.7071068     0
#>     upper 0.0000000     0
blomqvist_beta(cop)
#> [1] 0.5118579