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
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✨
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.

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 239 downloads 10 exports 21 dependencies

Last updated from:d9625211ef. Checks:13 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	174
linux-devel-x86_64	OK	154
source / vignettes	OK	190
linux-release-arm64	OK	170
linux-release-x86_64	OK	148
macos-release-arm64	OK	188
macos-release-x86_64	OK	287
macos-oldrel-arm64	OK	204
macos-oldrel-x86_64	OK	483
windows-devel	OK	175
windows-release	OK	109
windows-oldrel	OK	105
wasm-release	OK	103

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

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

Vignette for the tailDep package

Rendered fromvignette.pdf.asisusingR.rsp::asison May 18 2026.

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