tailDepFun

Minimum Distance Estimation of Tail Dependence Models

CRAN Package

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.

  • Version1.0.1
  • R versionunknown
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release06/03/2021

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