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

Official website: http://cran.r-project.org/web/packages/evir/index.html

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

Cited In (25)

• 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
• Financial risk modelling and portfolio optimization with R
• Density approximations and VaR computation for compound Poisson-lognormal distributions
• Optimally robust estimators in generalized Pareto models
• Modeling loss data using mixtures of distributions
• EVIM
• MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
• RobLox
• RobASt
• lmom
• POT
• VaR
• RMetrics
• MCMC4Extremes
• ADGofTest
• 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
• An \texttt{R} package for value at risk and expected shortfall

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