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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
Version
1.0.1
1.0.0
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Install
install.packages('tailDepFun')
Monthly Downloads
163
Version
1.0.0
License
GPL-3
Maintainer
Anna Kiriliouk
Last Published
March 26th, 2016
Functions in tailDepFun (1.0.0)
Search functions
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