tailDepFun: Minimum Distance Estimation of Tail Dependence Models

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

Author
Anna Kiriliouk
Date of publication
2016-03-26 17:09:04
Maintainer
Anna Kiriliouk <anna.kiriliouk@uclouvain.be>
License
GPL-3
Version
1.0.0

View on CRAN

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

Files in this package

tailDepFun
tailDepFun/inst
tailDepFun/inst/doc
tailDepFun/inst/doc/vignette.pdf
tailDepFun/inst/doc/vignette.pdf.asis
tailDepFun/src
tailDepFun/src/ell.c
tailDepFun/NAMESPACE
tailDepFun/data
tailDepFun/data/dataEUROSTOXX.rda
tailDepFun/data/dataKNMI.rda
tailDepFun/R
tailDepFun/R/EstimationGumbel.R
tailDepFun/R/helpFunctions.R
tailDepFun/R/Other.R
tailDepFun/R/EstimationBR.R
tailDepFun/R/EstimationML.R
tailDepFun/vignettes
tailDepFun/vignettes/vignette.pdf.asis
tailDepFun/MD5
tailDepFun/build
tailDepFun/build/vignette.rds
tailDepFun/DESCRIPTION
tailDepFun/man
tailDepFun/man/dataKNMI.Rd
tailDepFun/man/stdfEmpCorr.Rd
tailDepFun/man/dataEUROSTOXX.Rd
tailDepFun/man/stdfEmp.Rd
tailDepFun/man/stdfEmpInt.Rd
tailDepFun/man/selectGrid.Rd
tailDepFun/man/EstimationMaxLinear.Rd
tailDepFun/man/AsymVarBR.Rd
tailDepFun/man/tailDepFun.Rd
tailDepFun/man/EstimationBR.Rd
tailDepFun/man/AsymVarMaxLinear.Rd
tailDepFun/man/AsymVarGumbel.Rd
tailDepFun/man/EstimationGumbel.Rd