POT: Generalized Pareto Distribution and Peaks Over Threshold

Some functions useful to perform a Peak Over Threshold analysis in univariate and bivariate cases, see Beirlant et al. (2004) <doi:10.1002/0470012382>. A user's guide is available.

Package details

AuthorMathieu Ribatet [aut], Christophe Dutang [ctb]
MaintainerChristophe Dutang <christophe.dutang@ensimag.fr>
LicenseGPL (>= 2)
URL http://pot.r-forge.r-project.org/
Package repositoryView on CRAN
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POT documentation built on May 2, 2019, 7:30 a.m.