tailDepFun: Minimum Distance Estimation of Tail Dependence Models
Version 1.0.0

Provides functions implementing minimal distance estimation methods for parametric tail dependence models.

Browse man pages Browse package API and functions Browse package files

AuthorAnna Kiriliouk
Date of publication2016-03-26 17:09:04
MaintainerAnna Kiriliouk <anna.kiriliouk@uclouvain.be>
LicenseGPL-3
Version1.0.0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("tailDepFun")

Man pages

AsymVarBR: Asymptotic variance matrix for the Brown-Resnick process.
AsymVarGumbel: Asymptotic variance matrix for the Gumbel model.
AsymVarMaxLinear: Asymptotic variance matrix for the max-linear model.
dataEUROSTOXX: EUROSTOXX50 weekly negative log-returns.
dataKNMI: Wind speeds in the Netherlands.
EstimationBR: Estimation of the parameters of the Brown-Resnick process
EstimationGumbel: Estimation of the parameter of the Gumbel model
EstimationMaxLinear: Estimation of the parameters of the max-linear model
selectGrid: Selects a grid of indices.
stdfEmp: Empirical stable tail dependence function
stdfEmpCorr: Bias-corrected empirical stable tail dependence function
stdfEmpInt: Integrated empirical stable tail dependence function
tailDepFun: tailDepFun

Functions

AsymBRDiagEC Source code
AsymBREC Source code
AsymML Source code
AsymVarBR Man page Source code
AsymVarGumbel Man page Source code
AsymVarMLwls Source code
AsymVarMaxLinear Man page Source code
AsymVarMestimatorGumbel Source code
AsymVarWLSGumbel Source code
AsymWLSGum Source code
BmatrixEURO Source code
EstimationBR Man page Source code
EstimationGumbel Man page Source code
EstimationMaxLinear Man page Source code
I1 Source code
I1finlog Source code
I1finlogcase2 Source code
I1v2 Source code
I1v3 Source code
I1v4 Source code
I2BR Source code
I2log Source code
I3 Source code
I3BR Source code
I3finlog Source code
I3finlogcase2 Source code
I3log Source code
IBR Source code
Ilog Source code
Kernel Source code
LdotEURO Source code
MestimatorAsymVarBR Source code
MestimatorBR Source code
MestimatorGumbel Source code
MestimatorML Source code
MestimatorMinimizeBR Source code
MestimatorMinimizeGumbel Source code
MestimatorMinimizeML Source code
MestimatorpsidotBR Source code
MestimatorpsidotBRIso Source code
WLSAsymVarBR Source code
WLSestimatorBR Source code
WLSestimatorGumbel Source code
WLSestimatorML Source code
WLSminimizeBR Source code
WLSminimizeBRcu Source code
WLSminimizeGumbel Source code
WLSminimizeML Source code
WLSminimizeMLcu Source code
alphaL Source code
coordinates Source code
corrfunc Source code
corrfuncEC Source code
dataEUROSTOXX Man page
dataKNMI Man page
deltaL Source code
ecBR2 Source code
ecderGum Source code
ecderML Source code
ellBR Source code
ellBR4d Source code
ellBR4dv2 Source code
ellBR4dv3 Source code
ellBR4dv4 Source code
ellLog Source code
ellLogCase2 Source code
ellLogCase3 Source code
ellLogv2 Source code
ellLogv3 Source code
factorfunc Source code
fecGum Source code
fecML Source code
fell Source code
gammaf Source code
gfunc Source code
intBRcase1 Source code
intBRcase2 Source code
intBRcase3 Source code
intBRcase4 Source code
intBRcase5 Source code
intLog1 Source code
intLog2 Source code
intLog3 Source code
is.whole Source code
logfunc Source code
parsBRtoTau Source code
parsTauToBR Source code
phidotBREC Source code
phidotBRECIso Source code
phidotBasic Source code
psiLogToInt Source code
psiMestimatorGumbel Source code Source code
psiWLSGumbel Source code
regularGrid Source code
rhoL Source code
selectGrid Man page Source code
stdfEmp Man page Source code
stdfEmpCorr Man page Source code
stdfEmpInt Man page Source code
tailBR Source code
tailBRInt Source code
tailDepFun Man page
tailDepFun-package Man page
tauDerivMatrix Source code
tildeL Source code

Files

inst
inst/doc
inst/doc/vignette.pdf
inst/doc/vignette.pdf.asis
src
src/ell.c
NAMESPACE
data
data/dataEUROSTOXX.rda
data/dataKNMI.rda
R
R/EstimationGumbel.R
R/helpFunctions.R
R/Other.R
R/EstimationBR.R
R/EstimationML.R
vignettes
vignettes/vignette.pdf.asis
MD5
build
build/vignette.rds
DESCRIPTION
man
man/dataKNMI.Rd
man/stdfEmpCorr.Rd
man/dataEUROSTOXX.Rd
man/stdfEmp.Rd
man/stdfEmpInt.Rd
man/selectGrid.Rd
man/EstimationMaxLinear.Rd
man/AsymVarBR.Rd
man/tailDepFun.Rd
man/EstimationBR.Rd
man/AsymVarMaxLinear.Rd
man/AsymVarGumbel.Rd
man/EstimationGumbel.Rd
tailDepFun documentation built on May 19, 2017, 8:30 a.m.