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).
