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>.
| Version: | 0.0.3 |
| Depends: | R (≥ 3.5.0) |
| Imports: | evd, mvtnorm, copula |
| Published: | 2020-05-07 |
| Author: | Simone Padoan [cre, aut], Gilles Stupfler [aut] |
| Maintainer: | Simone Padoan <simone.padoan at unibocconi.it> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | mypage.unibocconi.it/simonepadoan/ |
| NeedsCompilation: | yes |
| CRAN checks: | ExtremeRisks results |
| Reference manual: | ExtremeRisks.pdf |
| Package source: | ExtremeRisks_0.0.3.tar.gz |
| Windows binaries: | r-devel: ExtremeRisks_0.0.3.zip, r-release: ExtremeRisks_0.0.3.zip, r-oldrel: ExtremeRisks_0.0.3.zip |
| macOS binaries: | r-release: ExtremeRisks_0.0.3.tgz, r-oldrel: ExtremeRisks_0.0.3.tgz |
Please use the canonical form https://CRAN.R-project.org/package=ExtremeRisks to link to this page.