tailDepFun (version 1.0.1)

Minimum Distance Estimation of Tail Dependence Models

Description

Provides functions implementing minimal distance estimation methods for parametric tail dependence models, as proposed in Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016) and Einmahl, J.H.J., Kiriliouk, A., and Segers, J. (2018) .

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Version

Install

install.packages('tailDepFun')

Monthly Downloads

174

Version

1.0.1

License

GPL-3

Maintainer

Anna Kiriliouk

Last Published

June 3rd, 2021

Functions in tailDepFun (1.0.1)

dataEUROSTOXX

EUROSTOXX50 weekly negative log-returns.

selectGrid

Selects a grid of indices.

stdfEmp

Empirical stable tail dependence function

AsymVarGumbel

Asymptotic variance matrix for the Gumbel model.

AsymVarBR

Asymptotic variance matrix for the Brown-Resnick process.

stdfEmpCorr

Bias-corrected empirical stable tail dependence function

stdfEmpInt

Integrated empirical stable tail dependence function

EstimationGumbel

Estimation of the parameter of the Gumbel model

EstimationMaxLinear

Estimation of the parameters of the max-linear model

tailDepFun

AsymVarMaxLinear

Asymptotic variance matrix for the max-linear model.

EstimationBR

Estimation of the parameters of the Brown-Resnick process

dataKNMI

Wind speeds in the Netherlands.