Package: tailDepFun 1.0.1

tailDepFun: Minimum Distance Estimation of Tail Dependence Models

Provides functions implementing minimal distance estimation methods for parametric tail dependence models, as proposed in Einmahl, J.H.J., Kiriliouk, A., Krajina, A., and Segers, J. (2016) <doi:10.1111/rssb.12114> and Einmahl, J.H.J., Kiriliouk, A., and Segers, J. (2018) <doi:10.1007/s10687-017-0303-7>.

Authors:Anna Kiriliouk

tailDepFun_1.0.1.tar.gz
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tailDepFun.pdf |tailDepFun.html✨
tailDepFun/json (API)

# Install 'tailDepFun' in R:

install.packages('tailDepFun', repos = c('https://akiriliouk.r-universe.dev', 'https://cloud.r-project.org'))

Datasets:

dataEUROSTOXX - EUROSTOXX50 weekly negative log-returns.
dataKNMI - Wind speeds in the Netherlands.

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.11 score 13 scripts 141 downloads 10 exports 19 dependencies

Last updated 4 years agofrom:d9625211ef. Checks:12 OK. Indexed: yes.

Target	Result	Latest binary
Doc / Vignettes	OK	Apr 02 2025
R-4.5-win-x86_64	OK	Apr 02 2025
R-4.5-mac-x86_64	OK	Apr 02 2025
R-4.5-mac-aarch64	OK	Apr 02 2025
R-4.5-linux-x86_64	OK	Apr 02 2025
R-4.4-win-x86_64	OK	Apr 02 2025
R-4.4-mac-x86_64	OK	Apr 02 2025
R-4.4-mac-aarch64	OK	Apr 02 2025
R-4.4-linux-x86_64	OK	Apr 02 2025
R-4.3-win-x86_64	OK	Apr 02 2025
R-4.3-mac-x86_64	OK	Apr 02 2025
R-4.3-mac-aarch64	OK	Apr 02 2025

Exports:AsymVarBR AsymVarGumbel AsymVarMaxLinear EstimationBR EstimationGumbel EstimationMaxLinear selectGrid stdfEmp stdfEmpCorr stdfEmpInt

Dependencies:ADGofTest colorspace copula cubature dotCall64 fields gsl lattice maps Matrix mvtnorm numDeriv pcaPP pspline Rcpp spam SpatialExtremes stabledist viridisLite

Vignette for the tailDep package

Rendered fromvignette.pdf.asisusingR.rsp::asison Apr 02 2025.

Last update: 2021-06-03
Started: 2016-03-26

Citation

Readme and manuals

Help Manual

Help page	Topics
Asymptotic variance matrix for the Brown-Resnick process.	AsymVarBR
Asymptotic variance matrix for the Gumbel model.	AsymVarGumbel
Asymptotic variance matrix for the max-linear model.	AsymVarMaxLinear
EUROSTOXX50 weekly negative log-returns.	dataEUROSTOXX
Wind speeds in the Netherlands.	dataKNMI
Estimation of the parameters of the Brown-Resnick process	EstimationBR
Estimation of the parameter of the Gumbel model	EstimationGumbel
Estimation of the parameters of the max-linear model	EstimationMaxLinear
Selects a grid of indices.	selectGrid
Empirical stable tail dependence function	stdfEmp
Bias-corrected empirical stable tail dependence function	stdfEmpCorr
Integrated empirical stable tail dependence function	stdfEmpInt
tailDepFun	tailDepFun