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satdad (version 1.1)

Sensitivity Analysis Tools for Dependence and Asymptotic Dependence

Description

Tools for analyzing tail dependence in any sample or in particular theoretical models. The package uses only theoretical and non parametric methods, without inference. The primary goals of the package are to provide: (a)symmetric multivariate extreme value models in any dimension; theoretical and empirical indices to order tail dependence; theoretical and empirical graphical methods to visualize tail dependence.

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Version

Install

install.packages('satdad')

Monthly Downloads

165

Version

1.1

License

GPL (>= 3)

Maintainer

Cécile Mercadier

Last Published

March 29th, 2023

Functions in satdad (1.1)

Empirical stable tail dependence function.

Empirical graphs of the tail dependence structure.

Cleveland's Dot Plots of the tail dependence structure.

Empirical Cleveland's Dot Plots of the tail dependence structure.

rArchimaxMevlog

r function for Archimax Mevlog models.

r-p-d-ell- functions for Mevlog models.

Empirical tail importance coefficients.

Tail importance coefficients for Mevlog models.

Empirical tail superset importance coefficients.

Tail superset importance coefficients for Mevlog models.

Dataset. Yearly maxima of Log Returns of ten stock indices 1990-2015.

Generate a Mevlog tail dependence structure.

Empirical Extremal coefficients.

copArchimaxMevlog

cop-ell-psi-psiinv- functions for Archimax Mevlog models.

Dataset. Yearly Maxima of Temperature and coordinates of 21 French cities 1946-2000.

Extremal coefficients for Mevlog models.

Empirical graphs drawn on geographical maps of the tail dependence structure.

Graphs of the tail dependence structure for Mevlog models.