evir

MaRDI QIDQ22450swMATHCRANFDO

Authors Bernhard Pfaff, Alexander Mcneil

Last update 20 March 2018

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.7-4

Official website http://cran.r-project.org/web/packages/evir/index.html

Source code repository https://github.com/cran/evir

Cited in

(55)

• extremeIndex
• An \texttt{R} package for value at risk and expected shortfall
• EVIM
• eventstudies
• ABCExtremes
• Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
• RobLox
• RobASt
• POT
• lmom
• VaR
• RMetrics
• gPdtest
• ismev
• QRM
• SpatialExtremes
• evd
• texmex
• A double generalized Pareto distribution
• Modeling loss data using mixtures of distributions
• Threshold selection for extremes under a semiparametric model
• TestEVC1d
• evdbayes
• fExtremes
• ppstat
• lmomco
• MCMC4Extremes
• smoothtail
• spd
• nsRFA
• Optimally robust estimators in generalized Pareto models
• An introduction to analysis of financial data with R.
• FRAPO
• VaRES
• evmix
• Financial risk modelling and portfolio optimization with R
• evt0
• GUIDE
• ADGofTest
• extRemes
• NHPoisson
• chron
• The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
• Mamba
• fPortfolio
• evgam
• MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
• Density approximations and VaR computation for compound Poisson-lognormal distributions
• extremefit
• RobExtremes
• FitDynMix
• extremeStat
• FlowScreen
• Regression estimator for the tail index
• A software review for extreme value analysis

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