RTDE (version 0.2-1)

Robust Tail Dependence Estimation

Description

Robust tail dependence estimation for bivariate models. This package is based on two papers by the authors:'Robust and bias-corrected estimation of the coefficient of tail dependence' and 'Robust and bias-corrected estimation of probabilities of extreme failure sets'. This work was supported by a research grant (VKR023480) from VILLUM FONDEN and an international project for scientific cooperation (PICS-6416).

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Install

install.packages('RTDE')

Monthly Downloads

117

Version

0.2-1

License

GPL (>= 2)

Last Published

January 8th, 2020

Functions in RTDE (0.2-1)