Package: ExtremeRisks
Version: 0.0.3
Date: 2020-05-05
Title: Extreme Risk Measures
Authors@R: c(person("Simone","Padoan", role = c("cre","aut"), email="simone.padoan@unibocconi.it"),
	    person("Gilles", "Stupfler", role = "aut", email="gilles.stupfler.fr"))
Author: Simone Padoan [cre, aut],
  Gilles Stupfler [aut]
Maintainer: Simone Padoan <simone.padoan@unibocconi.it>
Imports: evd, mvtnorm, copula
Depends: R (>= 3.5.0)
Description: A set of procedures for estimating risks related to extreme events via risk measures such as expectile, value-at-risk, etc. is provided. Estimation methods for univariate independent observations and temporal dependent observations are available. The statistical inference is performed through parametric and non-parametric estimators. Inferential procedures such as confidence intervals and hypothesis testing are obtained by exploiting the asymptotic theory. Adapts the methodologies derived in Padoan and Stupfler (2020) <arxiv:2004.04078>, Daouia et al. (2018) <doi:10.1111/rssb.12254>, Drees (2000) <doi:10.1214/aoap/1019487617>, Drees (2003) <doi:10.3150/bj/1066223272>, de Haan and Ferreira (2006) <doi:10.1007/0-387-34471-3>, de Haan et al. (2016) <doi:10.1007/s00780-015-0287-6>.
License: GPL (>= 2)
URL: mypage.unibocconi.it/simonepadoan/
NeedsCompilation: yes
Repository: CRAN
Repository/R-Forge/Project: extremerisks
Repository/R-Forge/Revision: 12
Repository/R-Forge/DateTimeStamp: 2020-05-05 10:42:39
Date/Publication: 2020-05-07 10:20:02 UTC
Packaged: 2020-05-05 10:47:16 UTC; rforge
Built: R 3.6.3; ; 2020-08-05 03:49:55 UTC; windows
