evt0-package: Mean of order p, peaks over random threshold Hill and high...

Description Details Author(s)

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.

Details

Package: evt0
Type: Package
Version: 1.1-3
Date: 2013-12-10
License: GPL (>= 2)

Author(s)

B G Manjunath [email protected] and Frederico Caeiro [email protected]; guidance from Prof. M. Ivette Gomes [email protected] and Prof. M. Isabel Fraga Alves [email protected]

Maintainer: B G Manjunath [email protected]


evt0 documentation built on May 30, 2017, 6:10 a.m.