evir

MaRDI QIDQ22450swMATHCRANFDO

Authors Bernhard Pfaff, Alexander Mcneil

Last update 20 March 2018

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

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

(54)

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

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