Generalized Pareto Distribution and Peaks Over Threshold

Some functions useful to perform a Peak Over Threshold analysis in univariate and bivariate cases, see Beirlant et al. (2004) . A user's guide is available.


Reference manual

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1.1-7 by Christophe Dutang, 3 years ago

Browse source code at

Authors: Mathieu Ribatet [aut] , Christophe Dutang [ctb]

Documentation:   PDF Manual  

Task views: Extreme Value Analysis

GPL (>= 2) license

Suggested by lax.

See at CRAN