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RTDE: 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).
Getting started
Browse package contents
Package details |
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| Author | Christophe Dutang [aut, cre] (<https://orcid.org/0000-0001-6732-1501>), Armelle Guillou [ctb] (<https://orcid.org/0000-0001-7136-8687>), Yuri Goegebeur [ctb] (<https://orcid.org/0000-0002-9976-5040>) |
| Maintainer | Christophe Dutang <dutangc@gmail.com> |
| License | GPL (>= 2) |
| Version | 0.2-2 |
| Package repository | View on CRAN |
| Installation |
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