evt0 (Q32906)
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Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | evt0 |
Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates |
Statements
expanded from: GPL (≥ 2) (English)
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8 July 2024
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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.
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