evt0-package: Mean of Order P, Peaks over Random Threshold Hill and High...
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Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates
Description
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(s)
B G Manjunath bgmanjunath@gmail.com and Frederico Caeiro fac@fct.unl.pt; guidance from Prof. M. Ivette Gomes ivette.gomes@fc.ul.pt and Prof. M. Isabel Fraga Alves mialves@fc.ul.pt
evt0 documentation built on Sept. 11, 2024, 9:31 p.m.
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| evt0-package | R Documentation |
Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates
Description
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(s)
B G Manjunath bgmanjunath@gmail.com and Frederico Caeiro fac@fct.unl.pt; guidance from Prof. M. Ivette Gomes ivette.gomes@fc.ul.pt and Prof. M. Isabel Fraga Alves mialves@fc.ul.pt
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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