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.

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 <bgmanjunath@gmail.com>
License
GPL (>= 2)
Version
1.1-3
URLs

View on CRAN

Man pages

DPOT
Duration based peaks over threshold value-at-risk forecast
evt0-package
Mean of order p, peaks over random threshold Hill and high...
mop
Mean of order p statistic for the extreme value index
mop.AREFF
Asymptotic efficiency of mean of order p
mop.q
High qunatile estimate by mean of order p statistic
other.EVI
Other extreme value index estimates
otherPORT.q
Other peaks over random threshold high quantile estimate
other.q
Other methods for high quantile estimate
PORT.Hill
Peaks over random threshold Hill estimate
PORT.q
Peaks over random threshold high quantile estimate
S_P500
S&P500

Files in this package

evt0
evt0/inst
evt0/inst/CITATION
evt0/NAMESPACE
evt0/NEWS
evt0/data
evt0/data/S_P500.rda
evt0/R
evt0/R/otherPORTq.R
evt0/R/mopq.R
evt0/R/PORTq.R
evt0/R/otherEVI.R
evt0/R/otherq.R
evt0/R/mop.R
evt0/R/mopAREFF.R
evt0/R/PORTHill.R
evt0/R/DPOT.R
evt0/MD5
evt0/DESCRIPTION
evt0/man
evt0/man/PORT.Hill.Rd
evt0/man/DPOT.Rd
evt0/man/PORT.q.Rd
evt0/man/other.EVI.Rd
evt0/man/mop.q.Rd
evt0/man/other.q.Rd
evt0/man/evt0-package.Rd
evt0/man/mop.Rd
evt0/man/S_P500.Rd
evt0/man/mop.AREFF.Rd
evt0/man/otherPORT.q.Rd