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tailDepFun (version 1.0.0)

Minimum Distance Estimation of Tail Dependence Models

Description

Provides functions implementing minimal distance estimation methods for parametric tail dependence models.

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Version

Install

install.packages('tailDepFun')

Monthly Downloads

174

Version

1.0.0

License

GPL-3

Maintainer

Anna Kiriliouk

Last Published

March 26th, 2016

Functions in tailDepFun (1.0.0)

selectGrid

Selects a grid of indices.
EstimationMaxLinear

Estimation of the parameters of the max-linear model
AsymVarGumbel

Asymptotic variance matrix for the Gumbel model.
EstimationBR

Estimation of the parameters of the Brown-Resnick process
stdfEmp

Empirical stable tail dependence function
AsymVarBR

Asymptotic variance matrix for the Brown-Resnick process.
stdfEmpCorr

Bias-corrected empirical stable tail dependence function
dataEUROSTOXX

EUROSTOXX50 weekly negative log-returns.
AsymVarMaxLinear

Asymptotic variance matrix for the max-linear model.
EstimationGumbel

Estimation of the parameter of the Gumbel model
dataKNMI

Wind speeds in the Netherlands.
tailDepFun

tailDepFun
stdfEmpInt

Integrated empirical stable tail dependence function