evir: Extreme Values in R

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Functions for extreme value theory, which may be divided into the following groups; exploratory data analysis, block maxima, peaks over thresholds (univariate and bivariate), point processes, gev/gpd distributions.

Author
Bernhard Pfaff [aut, cre], Alexander McNeil [aut] (S original (EVIS)), Alec Stephenson [trl] (R port of EVIS)
Date of publication
2012-07-26 21:32:20
Maintainer
Bernhard Pfaff <bernhard@pfaffikus.de>
License
GPL (>= 2)
Version
1.7-3

View on CRAN

Man pages

bmw
Daily Log Returns on BMW Share Price
danish
Danish Fire Insurance Claims
decluster
Decluster Point Process
dgev
Generalized Extreme Value Distribution
dgpd
Generalized Pareto Distribution
emplot
Plot of Empirical Distribution Function
exindex
Estimate Extremal Index
findthresh
Find Threshold
gev
Fit Generalized Extreme Value Distribution
gpd
Fit Generalized Pareto Model
gpdbiv
Implements Bivariate POT Method
gpd.q
Add Quantile Estimates to plot.gpd
gpd.sfall
Add Expected Shortfall Estimates to a GPD Plot
gumbel
Fit Gumbel Distribution
hill
Create Hill Plot
interpret.gpdbiv
Interpret Results of Bivariate GPD Fit
meplot
Sample Mean Excess Plot
nidd.annual
The River Nidd Data
nidd.thresh
The River Nidd Data
plot.gev
Plot Fitted GEV Model
plot.gpd
Plot Fitted GPD Model
plot.gpdbiv
Plot Fitted Bivariate GPD Model
plot.pot
Plot Fitted POT Model
pot
Peaks Over Thresholds Model
qplot
Exploratory QQplot for Extreme Value Analysis
quant
Plot of GPD Tail Estimate of a High Quantile
records
Calculate Record Development
riskmeasures
Calculates Quantiles and Expected Shortfalls
rlevel.gev
Calculate Return Levels Based on GEV Fit
shape
Plot for GPD Shape Parameter
siemens
Daily Log Returns on Siemens Share Price
sp.raw
SP Data to June 1993
spto87
SP Return Data to October 1987
tailplot
Plot Tail Estimate From GPD Model

Files in this package

evir
evir/MD5
evir/demo
evir/demo/pot.bmw.R
evir/demo/pot.danish.R
evir/demo/bvpot.R
evir/demo/minima.sp.R
evir/demo/00Index
evir/man
evir/man/interpret.gpdbiv.Rd
evir/man/findthresh.Rd
evir/man/hill.Rd
evir/man/bmw.Rd
evir/man/spto87.Rd
evir/man/gev.Rd
evir/man/sp.raw.Rd
evir/man/pot.Rd
evir/man/plot.gpdbiv.Rd
evir/man/gpd.Rd
evir/man/meplot.Rd
evir/man/dgev.Rd
evir/man/quant.Rd
evir/man/records.Rd
evir/man/shape.Rd
evir/man/gpd.q.Rd
evir/man/plot.gev.Rd
evir/man/exindex.Rd
evir/man/gpdbiv.Rd
evir/man/plot.pot.Rd
evir/man/tailplot.Rd
evir/man/qplot.Rd
evir/man/danish.Rd
evir/man/gpd.sfall.Rd
evir/man/gumbel.Rd
evir/man/plot.gpd.Rd
evir/man/siemens.Rd
evir/man/dgpd.Rd
evir/man/nidd.thresh.Rd
evir/man/emplot.Rd
evir/man/nidd.annual.Rd
evir/man/riskmeasures.Rd
evir/man/rlevel.gev.Rd
evir/man/decluster.Rd
evir/DESCRIPTION
evir/inst
evir/inst/README
evir/inst/CHANGES
evir/inst/RCHANGES
evir/NAMESPACE
evir/R
evir/R/gevgpd.R
evir/R/pot.R
evir/R/eda.R
evir/R/potpp.R
evir/R/second.R
evir/R/bvpot.R
evir/R/bmax.R
evir/data
evir/data/bmw.rda
evir/data/danish.rda
evir/data/nidd.annual.rda
evir/data/nidd.thresh.rda
evir/data/siemens.rda
evir/data/sp.raw.rda
evir/data/spto87.rda