RTDE: Robust Tail Dependence Estimation

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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).

Author
Christophe Dutang [aut, cre], Armelle Guillou [ctb], Yuri Goegebeur [ctb]
Date of publication
2015-07-20 19:19:09
Maintainer
Christophe Dutang <christophe.dutang@ensimag.fr>
License
GPL (>= 2)
Version
0.2-0

View on CRAN

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

Files in this package

RTDE
RTDE/inst
RTDE/inst/CITATION
RTDE/inst/NEWS
RTDE/tests
RTDE/tests/test-fitRTDE.R
RTDE/tests/test-multRTDE.R
RTDE/tests/test-dataRTDE.R
RTDE/tests/test-RTDE.R
RTDE/tests/test-FGM.R
RTDE/tests/test-frechet.R
RTDE/tests/test-EPD.R
RTDE/tests/test-EUstockmarket.R
RTDE/tests/test-zvalue.R
RTDE/tests/test-MDPD.R
RTDE/tests/test-frank.R
RTDE/NAMESPACE
RTDE/R
RTDE/R/util-copula.R
RTDE/R/MDPD.R
RTDE/R/util-Zvalue.R
RTDE/R/util-graph.R
RTDE/R/probRTDE.R
RTDE/R/dataRTDE.R
RTDE/R/util-aux.R
RTDE/R/util-probdistr.R
RTDE/R/fitRTDE.R
RTDE/R/data-fit-probRTDE.R
RTDE/MD5
RTDE/DESCRIPTION
RTDE/man
RTDE/man/qqpareto.Rd
RTDE/man/MDPD.Rd
RTDE/man/RTDEzvalue.Rd
RTDE/man/FGM.Rd
RTDE/man/Frank.Rd
RTDE/man/RTDEfit.Rd
RTDE/man/RTDE.Rd
RTDE/man/Frechet.Rd
RTDE/man/RTDEdata.Rd
RTDE/man/unitpareto.Rd
RTDE/man/EPD.Rd