evt0

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Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates

B. G. Manjunath, Frederico Caeiro

Last update: 21 April 2023

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

Software version identifier: 1.1-4

Source code repository: https://github.com/cran/evt0

Cites work

• A simple generalisation of the Hill estimator
• A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
• Excess Functions and Estimation of the Extreme-Value Index

Cited In (2)

• An R Package for Value at Risk and Expected Shortfall
• On automatic bias reduction for extreme expectile estimation

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