RTDE

MaRDI QIDQ23768swMATHCRANFDO

Authors Christophe Dutang

Last update 16 October 2024

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.2-1, PACKAGES.rds, 0.1-0, 0.2-0, 0.2-2

Official website http://cran.r-project.org/web/packages/RTDE/index.html

Source code repository https://github.com/cran/RTDE

Description

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).

Described by source

• Robust and bias-corrected estimation of the coefficient of tail dependence

Cited in

(28)

• mvPot
• Bias-corrected and robust estimation of the bivariate stable tail dependence function
• Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data
• Robust nonparametric estimation of the conditional tail dependence coefficient
• Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
• qrmtools
• futureheatwaves
• hkevp
• MCMC4Extremes
• Robust and bias-corrected estimation of the probability of extreme failure sets
• extremogram
• VaRES
• eva
• ExtremalDep
• fCopulae
• ReIns
• AMON
• Interval estimation for a measure of tail dependence
• extremefit
• ptsuite
• lax
• RobExtremes
• RWsearch
• extremeStat
• tea
• egpd4gamlss
• extremis
• Bias-corrected estimation of stable tail dependence function

This page was built for software: RTDE