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:
tailDepFun_1.0.1.tar.gz
tailDepFun_1.0.1.zip(r-4.7)tailDepFun_1.0.1.zip(r-4.6)tailDepFun_1.0.1.zip(r-4.5)
tailDepFun_1.0.1.tgz(r-4.6-x86_64)tailDepFun_1.0.1.tgz(r-4.6-arm64)tailDepFun_1.0.1.tgz(r-4.5-x86_64)tailDepFun_1.0.1.tgz(r-4.5-arm64)
tailDepFun_1.0.1.tar.gz(r-4.7-arm64)tailDepFun_1.0.1.tar.gz(r-4.7-x86_64)tailDepFun_1.0.1.tar.gz(r-4.6-arm64)tailDepFun_1.0.1.tar.gz(r-4.6-x86_64)
tailDepFun_1.0.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
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.
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:d9625211ef. Checks:13 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 148 | ||
| linux-devel-x86_64 | OK | 141 | ||
| source / vignettes | OK | 184 | ||
| linux-release-arm64 | OK | 194 | ||
| linux-release-x86_64 | OK | 168 | ||
| macos-release-arm64 | OK | 221 | ||
| macos-release-x86_64 | OK | 224 | ||
| macos-oldrel-arm64 | OK | 165 | ||
| macos-oldrel-x86_64 | OK | 488 | ||
| windows-devel | OK | 141 | ||
| windows-release | OK | 90 | ||
| windows-oldrel | OK | 120 | ||
| wasm-release | OK | 101 |
Exports:AsymVarBRAsymVarGumbelAsymVarMaxLinearEstimationBREstimationGumbelEstimationMaxLinearselectGridstdfEmpstdfEmpCorrstdfEmpInt
Dependencies:ADGofTestclustercolorspacecopulacubaturedotCall64fieldsgsllatticemapsMatrixmvtnormnumDerivpcaPPpsplineRColorBrewerRcppspamSpatialExtremesstabledistviridisLite
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 |
