evt0: Mean of order p, peaks over random threshold Hill and high quantile estimates

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 (arm64): evt0_1.1-3.tgz, r-release (x86_64): evt0_1.1-3.tgz, r-oldrel: evt0_1.1-3.tgz
Old sources: evt0 archive


Please use the canonical form https://CRAN.R-project.org/package=evt0 to link to this page.