RTDE: Robust Tail Dependence Estimation (original) (raw)
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).
| Version: | 0.2-2 |
|---|---|
| Depends: | R (≥ 3.0.0), parallel, methods |
| Suggests: | tseries |
| Published: | 2024-10-16 |
| DOI: | 10.32614/CRAN.package.RTDE |
| Author: | Christophe Dutang  [aut, cre], Armelle Guillou [ctb], Yuri Goegebeur [ctb] |
| Maintainer: | Christophe Dutang |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Citation: | RTDE citation info |
| Materials: | README |
| In views: | Distributions, ExtremeValue |
| CRAN checks: | RTDE results |
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