RTDE

swMATH11830CRANRTDEMaRDI QIDQ23768FDOQ23768

Robust Tail Dependence Estimation

Christophe Dutang

Last update: 8 January 2020

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

Software version identifier: 0.2-1

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

Described by source

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

Cited In (7)

• Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data
• Robust and bias-corrected estimation of the probability of extreme failure sets
• Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
• Interval estimation for a measure of tail dependence
• Bias-corrected and robust estimation of the bivariate stable tail dependence function
• Robust nonparametric estimation of the conditional tail dependence coefficient
• Bias-corrected estimation of stable tail dependence function

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