Minimum Distance Estimation of Tail Dependence Models

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Documentation for package ‘tailDepFun’ version 1.0.1

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

AsymVarBR	Asymptotic variance matrix for the Brown-Resnick process.
AsymVarGumbel	Asymptotic variance matrix for the Gumbel model.
AsymVarMaxLinear	Asymptotic variance matrix for the max-linear model.
dataEUROSTOXX	EUROSTOXX50 weekly negative log-returns.
dataKNMI	Wind speeds in the Netherlands.
EstimationBR	Estimation of the parameters of the Brown-Resnick process
EstimationGumbel	Estimation of the parameter of the Gumbel model
EstimationMaxLinear	Estimation of the parameters of the max-linear model
selectGrid	Selects a grid of indices.
stdfEmp	Empirical stable tail dependence function
stdfEmpCorr	Bias-corrected empirical stable tail dependence function
stdfEmpInt	Integrated empirical stable tail dependence function
tailDepFun	tailDepFun