Robust Tail Dependence Estimation

Robust tail dependence estimation for bivariate models. This package is based on two papers by the authors:'Robust and bias-corrected estimation of the coefficient of tail dependence' and 'Robust and bias-corrected estimation of probabilities of extreme failure sets'. This work was supported by a research grant (VKR023480) from VILLUM FONDEN and an international project for scientific cooperation (PICS-6416).


=== RTDE: Robust Tail Dependence Estimation ===

Version 0.2-0

  • update to comply with R 3.3.0.

Version 0.1-0

  • initial release on CRAN.

Reference manual

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0.2-1 by Christophe Dutang, 2 years ago

Browse source code at

Authors: Christophe Dutang [aut, cre] , Armelle Guillou [ctb] , Yuri Goegebeur [ctb]

Documentation:   PDF Manual  

Task views: Probability Distributions, Extreme Value Analysis

GPL (>= 2) license

Depends on parallel, methods

Suggests tseries

See at CRAN