RTDE: Robust Tail Dependence Estimation
Version 0.2-0

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).

AuthorChristophe Dutang [aut, cre], Armelle Guillou [ctb], Yuri Goegebeur [ctb]
Date of publication2015-07-20 19:19:09
MaintainerChristophe Dutang <christophe.dutang@ensimag.fr>
LicenseGPL (>= 2)
Version0.2-0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("RTDE")

Popular man pages

EPD: The Extended Pareto Distribution
FGM: The Eyraud Farlie Gumbel Morgenstern Distribution
Frank: The Frank Distribution
MDPD: The Minimum Distance Power Divergence statistics
qqpareto: The QQ Pareto plot
RTDEzvalue: The Z-value random variable
unitpareto: The unit Pareto Distribution
See all...

All man pages Function index File listing

Man pages

EPD: The Extended Pareto Distribution
FGM: The Eyraud Farlie Gumbel Morgenstern Distribution
Frank: The Frank Distribution
Frechet: The Frechet Distribution
MDPD: The Minimum Distance Power Divergence statistics
qqpareto: The QQ Pareto plot
RTDE: Data object used for a Tail Dependence model
RTDEdata: Data object used for a Tail Dependence model
RTDEfit: Fitting a Tail Dependence model with a Robust Estimator
RTDEzvalue: The Z-value random variable
unitpareto: The unit Pareto Distribution

Functions

EPD Man page
FGM Man page
Frank Man page
Frechet Man page
MDPD Man page Source code
RTDE Man page Source code
RTDE1 Source code
dEPD Man page Source code
dFGM Man page Source code
dataRTDE Man page Source code
dfrank Man page Source code
dfrechet Man page Source code
dufrechet Man page Source code
dupareto Man page Source code
fitRTDE Man page Source code
fitetadelta Source code
getqEPD Source code
pEPD Man page Source code
pFGM Man page Source code
pRTDE Source code
pfrank Man page Source code
pfrechet Man page Source code
plot.RTDE Man page Source code
plot.dataRTDE Man page Source code
plot.fitRTDE Man page Source code
print.RTDE Man page Source code
print.dataRTDE Man page Source code
print.fitRTDE Man page Source code
print.summary.RTDE Source code
print.summary.dataRTDE Source code
print.summary.fitRTDE Source code
print.summary.zvalueRTDE Source code
print.zvalueRTDE Man page Source code
prob Man page Source code
prob.RTDE Man page Source code
prob.default Man page Source code
prob.fitRTDE Source code
pufrechet Man page Source code
pupareto Man page Source code
qEPD Man page Source code
qFGM Man page Source code
qfrank Man page Source code
qfrechet Man page Source code
qqparetoplot Man page Source code
qufrechet Man page Source code
qupareto Man page Source code
rEPD Man page Source code
rFGM Man page Source code
relexcess Man page Source code
relexcess.default Man page Source code
relexcess.zvalueRTDE Man page Source code
rfrank Man page Source code
rfrechet Man page Source code
rufrechet Man page Source code
rupareto Man page Source code
simple3Dproj2D Source code
summary.RTDE Man page Source code
summary.dataRTDE Man page Source code
summary.fitRTDE Man page Source code
summary.zvalueRTDE Man page Source code
summary2 Source code
summary3 Source code
upareto Man page
zvalueRTDE Man page Source code

Files

inst
inst/CITATION
inst/NEWS
tests
tests/test-fitRTDE.R
tests/test-multRTDE.R
tests/test-dataRTDE.R
tests/test-RTDE.R
tests/test-FGM.R
tests/test-frechet.R
tests/test-EPD.R
tests/test-EUstockmarket.R
tests/test-zvalue.R
tests/test-MDPD.R
tests/test-frank.R
NAMESPACE
R
R/util-copula.R
R/MDPD.R
R/util-Zvalue.R
R/util-graph.R
R/probRTDE.R
R/dataRTDE.R
R/util-aux.R
R/util-probdistr.R
R/fitRTDE.R
R/data-fit-probRTDE.R
MD5
DESCRIPTION
man
man/qqpareto.Rd
man/MDPD.Rd
man/RTDEzvalue.Rd
man/FGM.Rd
man/Frank.Rd
man/RTDEfit.Rd
man/RTDE.Rd
man/Frechet.Rd
man/RTDEdata.Rd
man/unitpareto.Rd
man/EPD.Rd
RTDE documentation built on May 19, 2017, 11:43 p.m.

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