Bocconi Home



R packages available on CRAN or R-Forge:

  1.  CompRandFld: Composite-likelihood based Analysis of Random Fields
  2.  ExtremalDep: Statistical Modelling of the Extremal Dependence
  3. ExtremeRisks: Estimation of Extreme Risk Measures


R code to perform simulation studies and real data analyses relative some papers:

  1. Beranger, B., Padoan, S. A. and Sisson, S. A. (2020). Estimation and uncertainty quantification for extreme quantile regions. Extremes, to appear.
  2. Padoan, S. A. and Stupfler, G. (2020). Extreme expectile estimation for heavy-tailed time series. Submitted (the code will be available shortly (upon acceptance of the article)).
Modificato il 28/04/2020