cmottet/RobustTail: RobustTail
Version 0.1.0

This package is a companion to the paper by Lam and Mottet "Tail Analysis without Parametric Models: A Worst-case Perspective". It is designed to solve programs (1) and (11) by focusing on the respective equivalent optimization programs (5) and (EC.19), when their feasbile region are restricted to distribution functions with at most two point supports.

Getting started

Package details

AuthorClementine Mottet
MaintainerClementine Mottet <[email protected]>
LicenseMIT
Version0.1.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("cmottet/RobustTail")
cmottet/RobustTail documentation built on May 12, 2017, 7:38 a.m.