Package: RTDE 0.2-2

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:Christophe Dutang [aut, cre], Armelle Guillou [ctb], Yuri Goegebeur [ctb]

RTDE_0.2-2.tar.gz
RTDE_0.2-2.zip(r-4.5)RTDE_0.2-2.zip(r-4.4)RTDE_0.2-2.zip(r-4.3)
RTDE_0.2-2.tgz(r-4.4-any)RTDE_0.2-2.tgz(r-4.3-any)
RTDE_0.2-2.tar.gz(r-4.5-noble)RTDE_0.2-2.tar.gz(r-4.4-noble)
RTDE_0.2-2.tgz(r-4.4-emscripten)RTDE_0.2-2.tgz(r-4.3-emscripten)
RTDE.pdf |RTDE.html✨
RTDE/json (API)
NEWS

# Install 'RTDE' in R:
install.packages('RTDE', repos = c('https://dutangc.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

On CRAN:

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

2.10 score 25 scripts 392 downloads 1 mentions 32 exports 0 dependencies

Last updated 1 months agofrom:3c6b8985af. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 16 2024
R-4.5-winOKNov 16 2024
R-4.5-linuxOKNov 16 2024
R-4.4-winOKNov 16 2024
R-4.4-macOKNov 16 2024
R-4.3-winOKNov 16 2024
R-4.3-macOKNov 16 2024

Exports:dataRTDEdEPDdFGMdfrankdfrechetdufrechetduparetofitRTDEMDPDpEPDpFGMpfrankpfrechetprobpufrechetpuparetoqEPDqFGMqfrankqfrechetqqparetoplotqufrechetquparetorelexcessrEPDrFGMrfrankrfrechetRTDErufrechetruparetozvalueRTDE

Dependencies:

Readme and manuals

Help Manual

Help pageTopics
Data object used for a Tail Dependence modeldataRTDE plot.dataRTDE print.dataRTDE summary.dataRTDE
The Extended Pareto DistributiondEPD EPD pEPD qEPD rEPD
The Eyraud Farlie Gumbel Morgenstern DistributiondFGM FGM pFGM qFGM rFGM
Fitting a Tail Dependence model with a Robust EstimatorfitRTDE plot.fitRTDE print.fitRTDE summary.fitRTDE
The Frank Distributiondfrank Frank pfrank qfrank rfrank
The Frechet Distributiondfrechet dufrechet Frechet pfrechet pufrechet qfrechet qufrechet rfrechet rufrechet
The Minimum Distance Power Divergence statisticsMDPD
The QQ Pareto plotqqparetoplot
Data object used for a Tail Dependence modelplot.RTDE print.RTDE prob prob.default prob.RTDE RTDE summary.RTDE
The unit Pareto Distributiondupareto pupareto qupareto rupareto upareto
The Z-value random variableprint.zvalueRTDE relexcess relexcess.default relexcess.zvalueRTDE summary.zvalueRTDE zvalueRTDE