SIMONE PADOAN
Software
R packages available on CRAN or R-Forge:
- CompRandFld: Composite-likelihood based Analysis of Random Fields
- ExtremalDep: Statistical Modelling of the Extremal Dependence
- ExtremeRisks: Estimation of Extreme Risk Measures
R code to perform simulation studies and real data analyses relative some papers:
- Beranger, B., Padoan, S. A. and Sisson, S. A. (2020). Estimation and uncertainty quantification for extreme quantile regions. Extremes, to appear.
- 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