Minimum Distance Estimation of Tail Dependence Models
Asymptotic variance matrix for the Brown-Resnick process.
Asymptotic variance matrix for the Gumbel model.
Asymptotic variance matrix for the max-linear model.
Estimation of the parameters of the Brown-Resnick process
Estimation of the parameter of the Gumbel model
Estimation of the parameters of the max-linear model
Selects a grid of indices.
Empirical stable tail dependence function
Bias-corrected empirical stable tail dependence function
Integrated empirical stable tail dependence function
tailDepFun
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>.