cmottet/RobustTail: RobustTail
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
Browse package contents
Package details |
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|---|---|
| Author | Clementine Mottet |
| Maintainer | Clementine Mottet <cmottet@bu.edu> |
| License | MIT |
| Version | 0.1.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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