Robust Tail Dependence Estimation

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).

RTDE: Robust Tail Dependence Estimation

RTDE provides 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' (https://doi.org/10.1016/j.insmatheco.2014.05.003) and 'Robust and bias-corrected estimation of probabilities of extreme failure sets' (https://doi.org/10.1007/s13171-015-0078-3).

The package

The stable version of RTDE can be installed from CRAN using:

install.packages("RTDE")

Finally load the package in your current R session with the following R command:

library(RTDE)

Documentation

Overall documentation is available at

help(RTDE)