Logiciel Année : 2024

RTDE: Robust Tail Dependence Estimation

Résumé

The RTDE package 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' by Dutang, Goegebeur & Guillou (2014) and 'Robust and bias-corrected estimation of probabilities of extreme failure sets' by Dutang, Goegebeur & Guillou (2016).
HAL

Cite hal-01311680 Article Christophe Dutang, Yuri Goegebeur, Armelle Guillou. Robust and bias-corrected estimation of the coefficient of tail dependence. Insurance: Mathematics and Economics, 2014, 57 (1), ⟨10.1016/j.insmatheco.2014.05.003⟩. ⟨hal-01311680⟩

DOI

Cite 10.1016/j.insmatheco.2014.05.003 Robust and bias-corrected estimation of the coefficient of tail dependence, https://doi.org/10.1016/j.insmatheco.2014.05.003

49 Consultations
0 Téléchargements

Altmetric

Partager

More