evt0

MaRDI QIDQ32906swMATHCRANFDO

Authors B. G. Manjunath, Frederico Caeiro

Last update 8 July 2024

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

Software version identifier 1.1-4, PACKAGES.rds, 1.0, 1.1-0, 1.1-3, 1.1-4, 1.1.5

Official website https://cran.r-project.org/web/packages/evt0/index.html

Source code repository https://github.com/cran/evt0

Description

The R package proposes extreme value index estimators for heavy tailed models by mean of order p <doi:10.1016/j.csda.2012.07.019>, peaks over random threshold <doi:10.57805/revstat.v4i3.37> and a bias-reduced estimator <doi:10.1080/00949655.2010.547196>. The package also computes moment, generalised Hill <doi:10.2307/3318416> and mixed moment estimates for the extreme value index. High quantiles and value at risk estimators based on these estimators are implemented.

Cites work

• A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
• A simple generalisation of the Hill estimator
• Excess Functions and Estimation of the Extreme-Value Index

Cited in

(23)

• An \texttt{R} package for value at risk and expected shortfall
• mvPot
• VaR
• On automatic bias reduction for extreme expectile estimation
• RTDE
• WeightedPortTest
• fExtremes
• futureheatwaves
• hkevp
• extremogram
• VaRES
• ExtremalDep
• GUIDE
• Dowd
• ReIns
• ltmix
• ptsuite
• lax
• RWsearch
• extremeStat
• tea
• egpd4gamlss
• extremis

This page was built for software: evt0