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

Package details

AuthorChristophe Dutang [aut, cre], Armelle Guillou [ctb], Yuri Goegebeur [ctb]
MaintainerChristophe Dutang <christophe.dutang@ensimag.fr>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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RTDE documentation built on Jan. 8, 2020, 5:09 p.m.