tailDepFun: Minimum Distance Estimation of Tail Dependence Models

Provides functions implementing minimal distance estimation methods for parametric tail dependence models, as proposed in Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016) <doi:10.1111/rssb.12114> and Einmahl, J.H.J., Kiriliouk, A., and Segers, J. (2018) <doi:10.1007/s10687-017-0303-7>.

install.packages("tailDepFun")

Try the tailDepFun package in your browser