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RTDE: Robust Tail Dependence Estimation

CRAN_Release_Badge CRAN Downloads License: GPL v3

RTDE provides 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’ (https://doi.org/10.1016/j.insmatheco.2014.05.003) and ‘Robust and bias-corrected estimation of probabilities of extreme failure sets’ (https://doi.org/10.1007/s13171-015-0078-3).

The package

The stable version of RTDE can be installed from CRAN using:

install.packages("RTDE")

Finally load the package in your current R session with the following R command:

library(RTDE)

Documentation

Overall documentation is available at

help(RTDE)

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.