POT

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Generalized Pareto Distribution and Peaks Over Threshold

Mathieu Ribatet

Last update: 14 April 2022

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

Software version identifier: 1.1-10

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

Cites work

• Statistics of Extremes

Cited In (10)

• The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
• Parameter estimation for the 4-parameter asymmetric exponential power distribution by the method of L-moments using R
• Optimally robust estimators in generalized Pareto models
• On estimation of loss distributions and risk measures
• Point and exact interval estimation for the generalized Pareto distribution with small samples
• A software review for extreme value analysis
• VSOLassoBag
• A double generalized Pareto distribution
• Bivariate statistical analysis of TCP-flow sizes and durations
• An M-estimator for tail dependence in arbitrary dimensions

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