Package jdistlib.finance

Class CopulaTailAnalysis

java.lang.Object

jdistlib.finance.CopulaTailAnalysis

public final class CopulaTailAnalysis
extends Object

Tail dependence, finite-level concentration, and bivariate stress regions.

Method Summary

Modifier and Type	Method	Description
static double	lowerConcentration(Copula copula, double level)
static NumericalEstimate	lowerTailDependence(Copula copula)
static double	stressProbability(Copula copula, Tail firstTail, double firstLevel, Tail secondTail, double secondLevel)
static double	upperConcentration(Copula copula, double level)
static NumericalEstimate	upperTailDependence(Copula copula)
static NumericalEstimate	weightedLogLikelihood(Copula copula, double[][] uniforms, double tailPower)	Tail-weighted pseudo log likelihood for comparison/fitting objectives.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

lowerTailDependence

public static NumericalEstimate lowerTailDependence(Copula copula)

upperTailDependence

public static NumericalEstimate upperTailDependence(Copula copula)

lowerConcentration

public static double lowerConcentration(Copula copula,
 double level)

upperConcentration

public static double upperConcentration(Copula copula,
 double level)

stressProbability

public static double stressProbability(Copula copula,
 Tail firstTail,
 double firstLevel,
 Tail secondTail,
 double secondLevel)

weightedLogLikelihood

public static NumericalEstimate weightedLogLikelihood(Copula copula,
 double[][] uniforms,
 double tailPower)

Tail-weighted pseudo log likelihood for comparison/fitting objectives.