RTDE (Q23768)
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Robust Tail Dependence Estimation
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | RTDE |
Robust Tail Dependence Estimation |
Statements
expanded from: GPL (≥ 2) (English)
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16 October 2024
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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).
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Identifiers
19 January 2021
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