Minimum Distance Estimation of Tail Dependence Models

Provides functions implementing minimal distance estimation methods for parametric tail dependence models, as proposed in Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016) and Einmahl, J.H.J., Kiriliouk, A., and Segers, J. (2018) .


Reference manual

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install.packages("tailDepFun")

1.0.1 by Anna Kiriliouk, 5 years ago


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


Authors: Anna Kiriliouk


Documentation:   PDF Manual  


GPL-3 license


Imports cubature, mvtnorm, SpatialExtremes, copula, stats, utils

Suggests R.rsp


See at CRAN