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.

AuthorMathieu Ribatet [aut], Christophe Dutang [ctb]
Date of publication2016-11-22 18:23:23
MaintainerChristophe Dutang <christophe.dutang@ensimag.fr>
LicenseGPL (>= 2)
Version1.1-6
http://pot.r-forge.r-project.org/

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

Functions

anova.bvpot Man page
anova.uvpot Man page
ardieres Man page
chimeas Man page
clust Man page
coef.pot Man page
confint.uvpot Man page
convassess Man page
convassess.bvpot Man page
convassess.mcpot Man page
convassess.uvpot Man page
dens Man page
dens.uvpot Man page
dexi Man page
dgpd Man page
diplot Man page
exiplot Man page
fitbvgpd Man page
fitexi Man page
fitgpd Man page
fitmcgpd Man page
fitpp Man page
frech2gpd Man page
gpd2frech Man page
gpd.firl Man page
gpd.fiscale Man page
gpd.fishape Man page
gpdlme Man page
gpdmdpd Man page
gpdmed Man page
gpdmgf Man page
gpdmle Man page
gpdmoments Man page
gpdmple Man page
gpd.pfrl Man page
gpd.pfscale Man page
gpd.pfshape Man page
gpdpickands Man page
gpdpwmb Man page
gpdpwmu Man page
lmomplot Man page
logLik.pot Man page
mrlplot Man page
pbvalog Man page
pbvamix Man page
pbvanlog Man page
pbvgpd Man page
pbvlog Man page
pbvmix Man page
pbvnlog Man page
pgpd Man page
pickdep Man page
plot.bvpot Man page
plot.mcpot Man page
plot.uvpot Man page
pp Man page
pp.uvpot Man page
print.bvpot Man page
print.mcpot Man page
print.uvpot Man page
prob2rp Man page
qgpd Man page
qq Man page
qq.uvpot Man page
rbvalog Man page
rbvamix Man page
rbvanlog Man page
rbvgpd Man page
rbvlog Man page
rbvmix Man page
rbvnlog Man page
retlev Man page
retlev.bvpot Man page
retlev.mcpot Man page
retlev.uvpot Man page
rgpd Man page
rp2prob Man page
samlmu Man page
simmc Man page
simmcpot Man page
specdens Man page
summary.pot Man page
tailind.test Man page
tcplot Man page
ts2tsd Man page
tsdep.plot Man page

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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All documentation is copyright its authors; we didn't write any of that.