POT: Generalized Pareto Distribution and Peaks Over Threshold

Some functions useful to perform a Peak Over Threshold analysis in univariate and bivariate cases. A user's guide is available.

AuthorMathieu Ribatet [aut], Christophe Dutang [ctb]
Date of publication2016-11-21 10:28:29
MaintainerChristophe Dutang <christophe.dutang@ensimag.fr>
LicenseGPL (>= 2)
Version1.1-6
http://pot.r-forge.r-project.org/

View on R-Forge

Man pages

anova.bvpot: Anova Tables: Bivariate Case

anova.uvpot: Anova Tables: Univariate Case

ardieres: High Flood Flows of the Ardieres River at Beaujeu

bvretlev: Return Level Plot: Bivariate Case

chimeas: Dependence Measures For Extreme Values Analysis

clust: Identify Extreme Clusters within a Time Series

coef.pot: Extract model coefficients of a "pot" model

confint: Generic Function to Compute (Profile) Confidence Intervals

convassess: Convergence Assessment for Fitted Objects

dens: Density Plot: Univariate Case

dexi: Compute the Density of the Extremal Index

diplot: Threshold Selection: The Dispersion Index Plot

evmc: Simulate Markov Chains With Extreme Value Dependence...

exiplot: Extremal Index Plot

fisherconf: Fisher Based Confidence Interval for the GP Distribution

fitBvGPD: Fitting Bivariate Peaks Over a Threshold Using Bivariate...

fitexi: Extremal Index Estimation

fitGPD: Fitting a GPD to Peaks Over a Threshold

fitMcGPD: Fitting Markov Chain Models to Peaks Over a Threshold

fitPP: Fitting the point process characterisation to exceedances...

gpd2frech: Transforms GPD Observations to Unit Frechet Ones and Vice...

internals: Internal functions and methods for the POT package.

lmomplot: Threshold Selection: The L-moments Plot

logLik.pot: Extract Log-Likelihood

mrlplot: Threshold Selection: The Empirical Mean Residual Life Plot

pickDep: The Pickands' Dependence Function

plot.bvpot: Graphical Diagnostics: the Bivariate Extreme Value...

plotGPD: Graphical Diagnostic: the Univariate GPD Model

plot.mcpot: Graphical Diagnostics: Markov Chains for All Exceedances.

pp: Probability Probability Plot

print.bvpot: Printing bvpot objects

print.mcpot: Printing mcpot objects

print.uvpot: Printing uvpot objects

profconf: Profiled Confidence interval for the GP Distribution

qq: Quantile Quantile Plot

rbvgpd: Parametric Bivariate GPD

retlev: Return Level Plot

retPer: Converts Return Periods to Probability and Vice Versa

samlmu: Compute Sample L-moments

simGPD: The Generalized Pareto Distribution

simmcpot: Simulate an Markov Chain with a Fixed Extreme Value...

specdens: Spectral Density Plot

summary.pot: Compactly display the structure

tailind.test: Testing for Tail Independence in Extreme Value Models

tcplot: Threshold Selection: The Threshold Choice Plot

ts2tsd: Mobile Window on a Time Series

tsdep.plot: Diagnostic for Dependence within Time Series Extremes

Files in this package

POT/DESCRIPTION
POT/NAMESPACE
POT/R
POT/R/GPD-dpqr-fun.R POT/R/bvGPD-dpqr-fun.R POT/R/bvpot-fitBvGPD.R POT/R/bvpot-gen-anova.R POT/R/bvpot-gen-convassess.R POT/R/bvpot-gen-plot.R POT/R/bvpot-gen-print.R POT/R/bvpot-gen-retlev.R POT/R/default-gen-convassess.R POT/R/default-gen-dens.R POT/R/default-gen-pp.R POT/R/default-gen-qq.R POT/R/default-gen-retlev.R POT/R/exi-density.R POT/R/exi-fit.R POT/R/graph-chimeas.R POT/R/graph-clust.R POT/R/graph-diplot.R POT/R/graph-exiplot.R POT/R/graph-lmomplot.R POT/R/graph-mrlplot.R POT/R/graph-pickdep.R POT/R/graph-specdens.R POT/R/graph-tailind.test.R POT/R/graph-tcplot.R POT/R/graph-tsdepplot.R POT/R/mcpot-fitMcGPD.R POT/R/mcpot-gen-convassess.R POT/R/mcpot-gen-plot.R POT/R/mcpot-gen-print.R POT/R/mcpot-gen-retlev.R POT/R/mcpot-simmc.R POT/R/mcpot-simmcpot.R POT/R/pot-gen-coef.R POT/R/pot-gen-loglik.R POT/R/pot-gen-summary.R POT/R/util-FrechtoGPD.R POT/R/util-GPD-lme.R POT/R/util-GPD-mdpde.R POT/R/util-GPD-me.R POT/R/util-GPD-mgfe.R POT/R/util-GPD-mle.R POT/R/util-GPD-mme.R POT/R/util-GPD-mple.R POT/R/util-GPD-pe.R POT/R/util-GPD-pwmbe.R POT/R/util-GPD-pwmue.R POT/R/util-confGPD-fisher.R POT/R/util-confGPD-prof.R POT/R/util-lmom.R POT/R/util-retlev2prob.R POT/R/util-ts2tsd.R POT/R/uvpot-fitGPD.R POT/R/uvpot-fitPP.R POT/R/uvpot-gen-anova.R POT/R/uvpot-gen-convassess.R POT/R/uvpot-gen-dens.R POT/R/uvpot-gen-plot.R POT/R/uvpot-gen-pp.R POT/R/uvpot-gen-print.R POT/R/uvpot-gen-qq.R POT/R/uvpot-gen-retlev.R
POT/build
POT/build/vignette.rds
POT/data
POT/data/ardieres.txt.gz
POT/demo
POT/demo/00Index
POT/demo/POT.R
POT/demo/bvPOT.R
POT/inst
POT/inst/ChangeLog
POT/inst/doc
POT/inst/doc/POT.R
POT/inst/doc/POT.Rnw
POT/inst/doc/POT.pdf
POT/man
POT/man/anova.bvpot.Rd POT/man/anova.uvpot.Rd POT/man/ardieres.Rd POT/man/bvretlev.Rd POT/man/chimeas.Rd POT/man/clust.Rd POT/man/coef.pot.Rd POT/man/confint.Rd POT/man/convassess.Rd POT/man/dens.Rd POT/man/dexi.Rd POT/man/diplot.Rd POT/man/evmc.Rd POT/man/exiplot.Rd POT/man/fisherconf.Rd POT/man/fitBvGPD.Rd POT/man/fitGPD.Rd POT/man/fitMcGPD.Rd POT/man/fitPP.Rd POT/man/fitexi.Rd POT/man/gpd2frech.Rd POT/man/internals.Rd POT/man/lmomplot.Rd POT/man/logLik.pot.Rd POT/man/mrlplot.Rd POT/man/pickDep.Rd POT/man/plot.bvpot.Rd POT/man/plot.mcpot.Rd POT/man/plotGPD.Rd POT/man/pp.Rd POT/man/print.bvpot.Rd POT/man/print.mcpot.Rd POT/man/print.uvpot.Rd POT/man/profconf.Rd POT/man/qq.Rd POT/man/rbvgpd.Rd POT/man/retPer.Rd POT/man/retlev.Rd POT/man/samlmu.Rd POT/man/simGPD.Rd POT/man/simmcpot.Rd POT/man/specdens.Rd POT/man/summary.pot.Rd POT/man/tailind.test.Rd POT/man/tcplot.Rd POT/man/ts2tsd.Rd POT/man/tsdep.plot.Rd
POT/src
POT/src/POT.c
POT/src/bvgpdlik.c
POT/src/ccop.c
POT/src/cgpdlik.c
POT/src/clust.c
POT/src/header.h
POT/src/mcgpdlik.c
POT/src/simmc.c
POT/src/ts2tsd.c
POT/vignettes
POT/vignettes/POT.Rnw

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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