stats

Statistical functions

pyscenarios.stats.tail_dependence(x, y, q)

Calculate tail dependence between vectors x and y.

Parameters:

• x – 1D array-like or dask array containing samples from a uniform (0, 1) distribution.
• y – other array to compare against
• q – quantile(s) (0 < q < 1). Either a scalar or a ND array-like or dask array.

Returns:

array of the same shape and type as q, containing:

\[\cases{ P(y < q | x < q) | q < 0.5 \cr P(y \geq q | x \geq q) | q \geq 0.5 }\]