Computes extreme value index (EVI) estimate for heavy tailed models by Mean of order p (MOP) and peaks over random threshold (PORT) Hill methodologies. Besides, also computes moment, generalised Hill and mixed moment estimates for EVI. Compute high quantile or value-at-risk (VaR) based on above EVI estimates.
|Author||B G Manjunath and Frederico Caeiro; guidance from Prof. M. Ivette Gomes and Prof. M. Isabel Fraga Alves|
|Date of publication||2013-12-24 07:41:14|
|Maintainer||B G Manjunath <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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