RTDE (0.2-0)

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Robust Tail Dependence Estimation.

http://cran.r-project.org/web/packages/RTDE

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).

Maintainer: Christophe Dutang
Author(s): Christophe Dutang [aut, cre], Armelle Guillou [ctb], Yuri Goegebeur [ctb]

License: GPL (>= 2)

Uses: tseries

Released almost 2 years ago.


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