Computes extreme value index (EVI) estimate for heavy tailed models by Mean of order p (MOP) and peaks over random threshold (PORT) Hill methodologies. Besides, also computes moment, generalised Hill and mixed moment estimates for EVI. Compute high quantile or value-at-risk (VaR) based on above EVI estimates.
| Version: | 1.1-3 |
| Depends: | R (≥ 1.9.0), evd, stats |
| Published: | 2013-12-24 |
| Author: | B G Manjunath and Frederico Caeiro; guidance from Prof. M. Ivette Gomes and Prof. M. Isabel Fraga Alves |
| Maintainer: | B G Manjunath <bgmanjunath at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | http://www.r-project.org |
| NeedsCompilation: | no |
| Citation: | evt0 citation info |
| Materials: | NEWS |
| CRAN checks: | evt0 results |
| Reference manual: | evt0.pdf |
| Package source: | evt0_1.1-3.tar.gz |
| Windows binaries: | r-devel: evt0_1.1-3.zip, r-release: evt0_1.1-3.zip, r-oldrel: evt0_1.1-3.zip |
| macOS binaries: | r-release: evt0_1.1-3.tgz, r-oldrel: evt0_1.1-3.tgz |
| Old sources: | evt0 archive |
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