Package: RTDE 0.2-1
Christophe Dutang
RTDE: 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).
Authors:
RTDE_0.2-1.tar.gz
RTDE_0.2-1.tar.gz(r-4.5-noble)RTDE_0.2-1.tar.gz(r-4.4-noble)
RTDE_0.2-1.tgz(r-4.4-emscripten)RTDE_0.2-1.tgz(r-4.3-emscripten)
RTDE.pdf |RTDE.html✨
RTDE/json (API)
NEWS
| # Install 'RTDE' in R: |
| install.packages('RTDE', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 5 years agofrom:998522b3db. Checks:OK: 1 NOTE: 1. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Aug 31 2024 |
| R-4.5-linux | NOTE | Aug 31 2024 |
Exports:dataRTDEdEPDdFGMdfrankdfrechetdufrechetduparetofitRTDEMDPDpEPDpFGMpfrankpfrechetprobpufrechetpuparetoqEPDqFGMqfrankqfrechetqqparetoplotqufrechetquparetorelexcessrEPDrFGMrfrankrfrechetRTDErufrechetruparetozvalueRTDE
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Data object used for a Tail Dependence model | dataRTDE plot.dataRTDE print.dataRTDE summary.dataRTDE |
| The Extended Pareto Distribution | dEPD EPD pEPD qEPD rEPD |
| The Eyraud Farlie Gumbel Morgenstern Distribution | dFGM FGM pFGM qFGM rFGM |
| Fitting a Tail Dependence model with a Robust Estimator | fitRTDE plot.fitRTDE print.fitRTDE summary.fitRTDE |
| The Frank Distribution | dfrank Frank pfrank qfrank rfrank |
| The Frechet Distribution | dfrechet dufrechet Frechet pfrechet pufrechet qfrechet qufrechet rfrechet rufrechet |
| The Minimum Distance Power Divergence statistics | MDPD |
| The QQ Pareto plot | qqparetoplot |
| Data object used for a Tail Dependence model | plot.RTDE print.RTDE prob prob.default prob.RTDE RTDE summary.RTDE |
| The unit Pareto Distribution | dupareto pupareto qupareto rupareto upareto |
| The Z-value random variable | print.zvalueRTDE relexcess relexcess.default relexcess.zvalueRTDE summary.zvalueRTDE zvalueRTDE |