evt0: Mean of order p, peaks over random threshold Hill and high quantile estimates

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.

AuthorB G Manjunath and Frederico Caeiro; guidance from Prof. M. Ivette Gomes and Prof. M. Isabel Fraga Alves
Date of publication2013-12-24 07:41:14
MaintainerB G Manjunath <bgmanjunath@gmail.com>
LicenseGPL (>= 2)

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