fExtremes

MaRDI QIDQ25888swMATHCRANFDO

Authors Tobias Setz, Yohan Chalabi, Diethelm Wuertz

Last update 21 December 2023

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

Software version identifier 4021.83, 191.10057, 200.10058, 201.10059, 201.10060, 220.10063, 221.10065, 240.10067, 240.10068, 251.70, 260.71, 260.72, 260.73, 270.74, 270.75, 290.76, 2100.77, 2160.78, 2160.79, 3010.80, 3010.81, 3042.82, 4032.84

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

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

Description

Provides functions for analysing and modelling extreme events in financial time Series. The topics include: (i) data pre-processing, (ii) explorative data analysis, (iii) peak over threshold modelling, (iv) block maxima modelling, (v) estimation of VaR and CVaR, and (vi) the computation of the extreme index.

Cited in

(33)

• EVIM
• homtest
• lmom
• POT
• VaR
• evir
• gPdtest
• evd
• SpatialExtremes
• texmex
• evdbayes
• TestEVC1d
• lmomco
• AssocTests
• MCMC4Extremes
• nsRFA
• smoothtail
• spd
• eva
• VaRES
• extRemes
• GUIDE
• evmix
• evt0
• extremefit
• extremeStat
• CompDist
• MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
• A software review for extreme value analysis
• A double generalized Pareto distribution
• ABCExtremes
• eventstudies
• An \texttt{R} package for value at risk and expected shortfall

This page was built for software: fExtremes