tea: Threshold Estimation Approaches

Different approaches for selecting the threshold in generalized Pareto distributions. Most of them are based on minimizing the AMSE-criterion or at least by reducing the bias of the assumed GPD-model. Others are heuristically motivated by searching for stable sample paths, i.e. a nearly constant region of the tail index estimator with respect to k, which is the number of data in the tail. The third class is motivated by graphical inspection. In addition, a sequential testing procedure for GPD-GoF-tests is also implemented here.

Version: 1.1
Imports: Matrix, stats, graphics
Published: 2020-04-19
Author: Johannes Ossberger
Maintainer: Johannes Ossberger <johannes.ossberger at gmail.com>
License: GPL-3
NeedsCompilation: no
CRAN checks: tea results

Documentation:

Reference manual: tea.pdf

Downloads:

Package source: tea_1.1.tar.gz
Windows binaries: r-devel: tea_1.1.zip, r-release: tea_1.1.zip, r-oldrel: tea_1.1.zip
macOS binaries: r-release (arm64): tea_1.1.tgz, r-oldrel (arm64): tea_1.1.tgz, r-release (x86_64): tea_1.1.tgz, r-oldrel (x86_64): tea_1.1.tgz
Old sources: tea archive

Reverse dependencies:

Reverse imports: OpVaR

Linking:

Please use the canonical form https://CRAN.R-project.org/package=tea to link to this page.