POT: Generalized Pareto Distribution and Peaks Over Threshold

Some functions useful to perform a Peak Over Threshold analysis in univariate and bivariate cases. A user's guide is available.

Author
Mathieu Ribatet [aut], Christophe Dutang [ctb]
Date of publication
2016-11-22 18:23:23
Maintainer
Christophe Dutang <christophe.dutang@ensimag.fr>
License
GPL (>= 2)
Version
1.1-6
URLs

View on CRAN

Man pages

anova.bvpot
Anova Tables: Bivariate Case
anova.uvpot
Anova Tables: Univariate Case
ardieres
High Flood Flows of the Ardieres River at Beaujeu
bvretlev
Return Level Plot: Bivariate Case
chimeas
Dependence Measures For Extreme Values Analysis
clust
Identify Extreme Clusters within a Time Series
coef.pot
Extract model coefficients of a "pot" model
confint
Generic Function to Compute (Profile) Confidence Intervals
convassess
Convergence Assessment for Fitted Objects
dens
Density Plot: Univariate Case
dexi
Compute the Density of the Extremal Index
diplot
Threshold Selection: The Dispersion Index Plot
evmc
Simulate Markov Chains With Extreme Value Dependence...
exiplot
Extremal Index Plot
fisherconf
Fisher Based Confidence Interval for the GP Distribution
fitBvGPD
Fitting Bivariate Peaks Over a Threshold Using Bivariate...
fitexi
Extremal Index Estimation
fitGPD
Fitting a GPD to Peaks Over a Threshold
fitMcGPD
Fitting Markov Chain Models to Peaks Over a Threshold
fitPP
Fitting the point process characterisation to exceedances...
gpd2frech
Transforms GPD Observations to Unit Frechet Ones and Vice...
internals
Internal functions and methods for the POT package.
lmomplot
Threshold Selection: The L-moments Plot
logLik.pot
Extract Log-Likelihood
mrlplot
Threshold Selection: The Empirical Mean Residual Life Plot
pickDep
The Pickands' Dependence Function
plot.bvpot
Graphical Diagnostics: the Bivariate Extreme Value...
plotGPD
Graphical Diagnostic: the Univariate GPD Model
plot.mcpot
Graphical Diagnostics: Markov Chains for All Exceedances.
pp
Probability Probability Plot
print.bvpot
Printing bvpot objects
print.mcpot
Printing mcpot objects
print.uvpot
Printing uvpot objects
profconf
Profiled Confidence interval for the GP Distribution
qq
Quantile Quantile Plot
rbvgpd
Parametric Bivariate GPD
retlev
Return Level Plot
retPer
Converts Return Periods to Probability and Vice Versa
samlmu
Compute Sample L-moments
simGPD
The Generalized Pareto Distribution
simmcpot
Simulate an Markov Chain with a Fixed Extreme Value...
specdens
Spectral Density Plot
summary.pot
Compactly display the structure
tailind.test
Testing for Tail Independence in Extreme Value Models
tcplot
Threshold Selection: The Threshold Choice Plot
ts2tsd
Mobile Window on a Time Series
tsdep.plot
Diagnostic for Dependence within Time Series Extremes

Files in this package

POT
POT/inst
POT/inst/ChangeLog
POT/inst/doc
POT/inst/doc/POT.pdf
POT/inst/doc/POT.R
POT/inst/doc/POT.Rnw
POT/src
POT/src/header.h
POT/src/ccop.c
POT/src/mcgpdlik.c
POT/src/cgpdlik.c
POT/src/POT.c
POT/src/ts2tsd.c
POT/src/simmc.c
POT/src/bvgpdlik.c
POT/src/clust.c
POT/NAMESPACE
POT/demo
POT/demo/00Index
POT/demo/POT.R
POT/demo/bvPOT.R
POT/data
POT/data/ardieres.txt.gz
POT/R
POT/R/mcpot-simmcpot.R
POT/R/uvpot-gen-dens.R
POT/R/util-ts2tsd.R
POT/R/uvpot-fitPP.R
POT/R/mcpot-gen-retlev.R
POT/R/graph-exiplot.R
POT/R/util-retlev2prob.R
POT/R/uvpot-fitGPD.R
POT/R/util-GPD-mdpde.R
POT/R/bvpot-gen-print.R
POT/R/uvpot-gen-anova.R
POT/R/bvGPD-dpqr-fun.R
POT/R/graph-diplot.R
POT/R/mcpot-gen-plot.R
POT/R/util-GPD-pe.R
POT/R/bvpot-gen-anova.R
POT/R/graph-mrlplot.R
POT/R/mcpot-fitMcGPD.R
POT/R/GPD-dpqr-fun.R
POT/R/graph-tsdepplot.R
POT/R/util-GPD-mple.R
POT/R/graph-tcplot.R
POT/R/bvpot-gen-plot.R
POT/R/util-FrechtoGPD.R
POT/R/util-GPD-pwmue.R
POT/R/uvpot-gen-qq.R
POT/R/uvpot-gen-retlev.R
POT/R/bvpot-gen-convassess.R
POT/R/util-GPD-me.R
POT/R/pot-gen-summary.R
POT/R/util-GPD-lme.R
POT/R/default-gen-pp.R
POT/R/bvpot-fitBvGPD.R
POT/R/mcpot-gen-print.R
POT/R/util-confGPD-prof.R
POT/R/default-gen-convassess.R
POT/R/uvpot-gen-print.R
POT/R/pot-gen-coef.R
POT/R/graph-lmomplot.R
POT/R/util-GPD-mgfe.R
POT/R/uvpot-gen-plot.R
POT/R/uvpot-gen-pp.R
POT/R/graph-specdens.R
POT/R/util-confGPD-fisher.R
POT/R/mcpot-gen-convassess.R
POT/R/graph-pickdep.R
POT/R/default-gen-dens.R
POT/R/graph-clust.R
POT/R/default-gen-qq.R
POT/R/default-gen-retlev.R
POT/R/graph-tailind.test.R
POT/R/mcpot-simmc.R
POT/R/util-GPD-pwmbe.R
POT/R/exi-fit.R
POT/R/util-lmom.R
POT/R/uvpot-gen-convassess.R
POT/R/bvpot-gen-retlev.R
POT/R/pot-gen-loglik.R
POT/R/util-GPD-mle.R
POT/R/exi-density.R
POT/R/util-GPD-mme.R
POT/R/graph-chimeas.R
POT/vignettes
POT/vignettes/POT.Rnw
POT/MD5
POT/build
POT/build/vignette.rds
POT/DESCRIPTION
POT/man
POT/man/diplot.Rd
POT/man/plotGPD.Rd
POT/man/simmcpot.Rd
POT/man/summary.pot.Rd
POT/man/dens.Rd
POT/man/evmc.Rd
POT/man/ts2tsd.Rd
POT/man/anova.bvpot.Rd
POT/man/plot.mcpot.Rd
POT/man/ardieres.Rd
POT/man/anova.uvpot.Rd
POT/man/retlev.Rd
POT/man/fitGPD.Rd
POT/man/tailind.test.Rd
POT/man/fitMcGPD.Rd
POT/man/exiplot.Rd
POT/man/dexi.Rd
POT/man/retPer.Rd
POT/man/profconf.Rd
POT/man/mrlplot.Rd
POT/man/tsdep.plot.Rd
POT/man/fitPP.Rd
POT/man/pickDep.Rd
POT/man/rbvgpd.Rd
POT/man/confint.Rd
POT/man/coef.pot.Rd
POT/man/logLik.pot.Rd
POT/man/bvretlev.Rd
POT/man/tcplot.Rd
POT/man/specdens.Rd
POT/man/internals.Rd
POT/man/lmomplot.Rd
POT/man/print.bvpot.Rd
POT/man/simGPD.Rd
POT/man/fitBvGPD.Rd
POT/man/samlmu.Rd
POT/man/chimeas.Rd
POT/man/fitexi.Rd
POT/man/plot.bvpot.Rd
POT/man/pp.Rd
POT/man/gpd2frech.Rd
POT/man/fisherconf.Rd
POT/man/print.mcpot.Rd
POT/man/convassess.Rd
POT/man/qq.Rd
POT/man/clust.Rd
POT/man/print.uvpot.Rd