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evt0: Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates
The R package proposes extreme value index estimators for heavy tailed models by mean of order p <DOI:10.1016/j.csda.2012.07.019>, peaks over random threshold <DOI:10.57805/revstat.v4i3.37> and a bias-reduced estimator <DOI:10.1080/00949655.2010.547196>. The package also computes moment, generalised Hill <DOI:10.2307/3318416> and mixed moment estimates for the extreme value index. High quantiles and value at risk estimators based on these estimators are implemented.
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Package details |
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| Author | Leo Belzile [cre] (<https://orcid.org/0000-0002-9135-014X>), B. G. Manjunath [aut] (<https://orcid.org/0000-0003-2687-0138>), Frederico Caeiro [aut] (<https://orcid.org/0000-0001-8628-7281>), Maria Ivette. Gomes [ctb] (<https://orcid.org/0000-0002-2903-6993>), Maria Isabel Fraga Alves [ctb] (<https://orcid.org/0000-0003-3824-2403>) |
| Maintainer | Leo Belzile <belzilel@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.1.5 |
| Package repository | View on CRAN |
| Installation |
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