ercv: Fitting Tails by the Empirical Residual Coefficient of Variation

Provides a methodology simple and trustworthy for the analysis of extreme values and multiple threshold tests for a generalized Pareto distribution, together with an automatic threshold selection algorithm. See del Castillo, J, Daoudi, J and Lockhart, R (2014) <doi:10.1111/sjos.12037>.

Package details

AuthorJoan del Castillo, David Moriña Soler and Isabel Serra
MaintainerIsabel Serra <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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ercv documentation built on July 17, 2017, 5:03 p.m.