README

This is the companion R package 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.



cmottet/RobustTail documentation built on May 13, 2019, 8:44 p.m.