evir

swMATH10489CRANevirMaRDI QIDQ22450

Extreme Values in R

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

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

Related Items (18)

MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions ⋮ FitDynMix ⋮ Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions ⋮ The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance ⋮ A software review for extreme value analysis ⋮ A double generalized Pareto distribution ⋮ extremeStat ⋮ Unnamed Item ⋮ extremeIndex ⋮ An R Package for Value at Risk and Expected Shortfall ⋮ Modeling loss data using mixtures of distributions ⋮ Unnamed Item ⋮ FlowScreen ⋮ MCMC4Extremes ⋮ Regression estimator for the tail index ⋮ Optimally robust estimators in generalized Pareto models ⋮ Density approximations and VaR computation for compound Poisson-lognormal distributions ⋮ Threshold selection for extremes under a semiparametric model

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