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).


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=== 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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install.packages("RTDE")

0.2-1 by Christophe Dutang, 2 years ago


Browse source code at https://github.com/cran/RTDE


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