tailDepFun: tailDepFun

In tailDepFun: Minimum Distance Estimation of Tail Dependence Models

Description

The package tailDepFun provides functions implementing two rank-based minimal distance estimation methods for parametric tail dependence models for distributions attracted to a max-stable law. The estimators, referred to as the pairwise M-estimator and the weighted least squares estimator, are described in Einmahl et al. (2016a) and Einmahl et al. (2016b). Extensive examples to illustrate the use of the package can be found in the accompanying vignette.

Details

Currently, this package allows for estimation of the Brown-Resnick process, the Gumbel (or logistic) model and max-linear models (possibly on a directed acyclic graph). The main functions of this package are EstimationBR, EstimationGumbel and EstimationMaxLinear, but several other functions are exported as well: stdfEmpInt returns the integral of the bivariate empirical stable tail dependence function over the unit square, and stdfEmp and stdfEmpCorr return the (bias-corrected) empirical stable tail dependence function. The functions AsymVarBR, AsymVarGumbel, AsymVarMaxLinear return the asymptotic covariance matrices of the estimators. An auxiliary function to select a regular grid of indices in which to evaluate the stable tail dependence function is exported as well, selectGrid. Finally, two datasets are available: dataKNMI (Einmahl et al., 2016) and dataEUROSTOXX (Einmahl et al., 2018).

References

Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016). An Mestimator of spatial tail dependence. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 78(1), 275-298.

Einmahl, J.H.J., Kiriliouk, A., and Segers, J. (2018). A continuous updating weighted least squares estimator of tail dependence in high dimensions. Extremes 21(2), 205-233.

Examples

## get a list of all help files of user-visible functions in the package
help(package = tailDepFun)

Example output

		Information on package 'tailDepFun'

Description:

Package:            tailDepFun
Type:               Package
Title:              Minimum Distance Estimation of Tail Dependence
                    Models
Description:        Provides functions implementing minimal distance
                    estimation methods for parametric tail dependence
                    models.
Version:            1.0.0
Date:               2016-03-25
Author:             Anna Kiriliouk
Maintainer:         Anna Kiriliouk <[e-mail]>
Depends:            R (>= 3.2.3)
Imports:            cubature, mvtnorm, SpatialExtremes, copula, stats,
                    utils
Suggests:           R.rsp
VignetteBuilder:    R.rsp
License:            GPL-3
LazyData:           true
Collate:            'Other.R' 'helpFunctions.R' 'EstimationBR.R'
                    'EstimationGumbel.R' 'EstimationML.R'
RoxygenNote:        5.0.1
NeedsCompilation:   yes
Packaged:           2016-03-26 15:23:02 UTC; Anna
Repository:         CRAN
Date/Publication:   2016-03-26 17:09:04
Built:              R 3.4.1; x86_64-pc-linux-gnu; 2017-09-22 15:12:13
                    UTC; unix

Index:

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.
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
dataEUROSTOXX           EUROSTOXX50 weekly negative log-returns.
dataKNMI                Wind speeds in the Netherlands.
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

Further information is available in the following vignettes in
directory '/usr/local/lib/R/site-library/tailDepFun/doc':

vignette.pdf: Vignette for the tailDep package (source, pdf)

tailDepFun documentation built on June 3, 2021, 5:10 p.m.