evir

swMATH10489CRANevirMaRDI QIDQ22450FDOQ22450

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

Cited In (18)

• Threshold selection for extremes under a semiparametric model
• FitDynMix
• The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
• Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
• Density approximations and VaR computation for compound Poisson-lognormal distributions
• Optimally robust estimators in generalized Pareto models
• Modeling loss data using mixtures of distributions
• MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
• FlowScreen
• MCMC4Extremes
• An R Package for Value at Risk and Expected Shortfall
• Title not available (Why is that?)
• A software review for extreme value analysis
• extremeStat
• Regression estimator for the tail index
• A double generalized Pareto distribution
• An introduction to analysis of financial data with R.
• extremeIndex

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