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R-code for fitting the Tawn-Molchanov max-stable model and computing bounds on VaR-max

dc.contributor.authorRobert Alohimakalani Yuen
dc.date.accessioned2014-06-21T01:24:39Z
dc.date.available2014-06-21T01:24:39Z
dc.date.issued2014-06-20
dc.identifier.urihttps://hdl.handle.net/2027.42/107443
dc.description.abstractThis is R-code for fitting the Tawn-Molchanov max-stable model. It contains functions for estimating upper bounds on Value-at-Risk for the maximum portfolio loss.en_US
dc.language.isoen_USen_US
dc.subjectMax-stableen_US
dc.subjectValue at Risken_US
dc.subjectStochastic Upper Bounden_US
dc.subjectTawn-Molchanoven_US
dc.titleR-code for fitting the Tawn-Molchanov max-stable model and computing bounds on VaR-maxen_US
dc.typeSoftwareen_US
dc.subject.hlbsecondlevelMathematics
dc.subject.hlbtoplevelScience
dc.contributor.affiliationumStatistics Departmenten_US
dc.contributor.affiliationumcampusAnn Arboren_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/107443/1/Yuen_TM_model_code_0.1.zip
dc.description.filedescriptionDescription of Yuen_TM_model_code_0.1.zip : R-code
dc.owningcollnameStatistics, Department of


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