Description Usage Arguments Value Author(s) References See Also Examples
Fits peaks-over-threshold model of a sample.
1 |
data |
a numeric vector. |
threshold |
a threshold value (either this or |
nextremes |
the number of upper extremes to be used (either
this or |
evi |
extreme value index. In particular, the shape parammeter of a generalized Pareto distribution. |
A data.frame
with the following columns:
evi extreme value index. In particular, the shape parammeter of a generalized Pareto distribution.
psi the scale parameter of a generalized Pareto distribution.
threshold a threshold value where peaks-over-threshold is applied.
prob proportion of size of data corresponding to the upper extremes modelled with generalized pareto distribution.
Joan del Castillo, David Moriña Soler and Isabel Serra
del Castillo, J. and Padilla, M. (2016). Modeling extreme values by the residual coefficient of variation. SORT Statist. Oper. Res. Trans. 40(2), 303-320.
del Castillo, J. and Serra, I. (2015). Likelihood inference for Generalized Pareto Distribution. Computational Statistics and Data Analysis, 83, 116-128.
del Castillo, J., Daoudi, J. and Lockhart, R. (2014). Methods to Distinguish Between Polynomial and Exponential Tails. Scandinavian Journal of Statistics, 41, 382-393.
ercv-package
, cievi
,
ccdfplot
, cvevi
, cvplot
, evicv
,
ppot
, qpot
, tdata
, thrselect
,
Tm
1 2 |
evi psi threshold prob
0.205208 26.091110 65.080000 1.000000
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