evt0: Mean of order p, peaks over random threshold Hill and high
quantile estimates
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.
| Version: |
1.1-3 |
| Depends: |
R (≥ 1.9.0), evd, stats |
| Published: |
2013-12-24 |
| Author: |
B G Manjunath and Frederico Caeiro; guidance from Prof. M. Ivette Gomes and Prof. M. Isabel Fraga Alves |
| Maintainer: |
B G Manjunath <bgmanjunath at gmail.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
http://www.r-project.org |
| NeedsCompilation: |
no |
| Citation: |
evt0 citation info |
| Materials: |
NEWS |
| CRAN checks: |
evt0 results |
Documentation:
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