evt0: Mean of order p, peaks over random threshold Hill and high quantile estimates
Version 1.1-3

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.

Browse man pages Browse package API and functions Browse package files

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)
Version1.1-3
URL http://www.r-project.org
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("evt0")

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

Functions

DPOT Man page Source code
PORT.Hill Man page Source code
PORT.MOP Man page Source code
PORT.RBMOP Man page Source code
PORT.q Man page Source code
S_P500 Man page
evt0 Man page
evt0-package Man page
gh Man page Source code
mm Man page Source code
mo Man page Source code
mop Man page Source code
mop.AREFF Man page Source code
mop.MOP Man page Source code
mop.RBMOP Man page Source code
mop.beta Man page Source code
mop.q Man page Source code
mop.rho Man page Source code
other.EVI Man page Source code
other.q Man page Source code
otherPORT.q Man page Source code

Files

inst
inst/CITATION
NAMESPACE
NEWS
data
data/S_P500.rda
R
R/otherPORTq.R
R/mopq.R
R/PORTq.R
R/otherEVI.R
R/otherq.R
R/mop.R
R/mopAREFF.R
R/PORTHill.R
R/DPOT.R
MD5
DESCRIPTION
man
man/PORT.Hill.Rd
man/DPOT.Rd
man/PORT.q.Rd
man/other.EVI.Rd
man/mop.q.Rd
man/other.q.Rd
man/evt0-package.Rd
man/mop.Rd
man/S_P500.Rd
man/mop.AREFF.Rd
man/otherPORT.q.Rd
evt0 documentation built on May 20, 2017, 3:53 a.m.