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 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
