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).

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

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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

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