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 to version changes in the package evt0
Version 1.1-3 (Date: 2013-12-24)
- All codes are optimized and also corrected all minor flaws.
- Duration-based POT (DPOT) value-at-risk forecast computation function is included.
- Data set of S&P500 Index returns form 05-01-1960 untill 16-10-1987 is included.
- R document file is updated.