POT-package | R Documentation |
The POT package aims to provide operational tools to analyze peak over threshold. This package relies on the extreme value theory (EVT) to model the tail of any continuous distribution. Tail modelling, in particular POT modelling, is of great importance for many financial and environmental applications.
The POT package was first committed to the CRAN in April 2005 and is still in development. The package is hosted in R-forge. Since November 2016, the package has a new maintainer.
The main motivation was to provide practical tools for probabilistic modelling of high flood flows. However, the strength of the EVT is that results do not depend on the process to be modelled. Thus, one can use the POT package to analyze precipitations, floods, financial times series, earthquakes and so on...
The POT package can perform univariate and bivariate extreme value analysis; first order Markov chains can also be considered. For instance, the (univariate) GPD is currently fitted using 18 estimators. These estimators rely on three different techniques:
Likelihood maximization: MLE, LME, MPLE
Moment Approaches: MOM, PWM, MED
Distance Minimization: MDPD and MGF estimators.
Contrary to the univariate case, there is no finite parametrisation to model bivariate exceedances over thresholds. The POT packages allows 6 parametrisation for the bivariate GPD: the logistic, negative logistic and mixed models - with their respective asymmetric counterparts.
Lastly, first order Markov chains can be fitted using the bivariate GPD for the joint distribution of two consecutive observations.
The POT package proposes several S3 classes to handle fits.
The overal class is "pot"
which provides usual generic functions
coef.pot
, logLik.pot
, summary.pot
.
Inheriting from "pot"
class, the class "uvpot"
provides univariate POT
objects (see fitgpd
and fitpp
) with the usual generic functions
anova.uvpot
for analysis of deviance,
confint.uvpot
for confidence interval,
plot.uvpot
for plots,
print.uvpot
for print,
as well as new generic functions
convassess.uvpot
for convergence assessment,
dens.uvpot
for density plot,
pp.uvpot
for probability plot,
qq.uvpot
for quantile plot,
retlev.uvpot
for return level plot.
Inheriting from "pot"
class, the class "bvpot"
provides bivariate POT
objects (see fitbvgpd
) with the usual generic functions
anova.bvpot
for analysis of deviance,
plot.bvpot
for plots,
print.bvpot
for print,
as well as new generic functions
convassess.bvpot
for convergence assessment,
retlev.bvpot
for return level plot.
Inheriting from "uvpot"
class, the class "mcpot"
provides Markov Chain POT
objects (see fitmcgpd
) with the usual generic functions
plot.mcpot
for plots,
print.mcpot
for print,
as well as new generic functions
convassess.mcpot
for convergence assessment,
retlev.mcpot
for return level plot.
We have written a package vignette to help new users.
This users guide is a part of the package - just run vignette("POT")
once the package is loaded.
Mathieu Ribatet and Christophe Dutang.
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