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)

  1. All codes are optimized and also corrected all minor flaws.
  2. Duration-based POT (DPOT) value-at-risk forecast computation function is included.
  3. Data set of S&P500 Index returns form 05-01-1960 untill 16-10-1987 is included.
  4. R document file is updated.

Reference manual

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1.1-3 by B G Manjunath, 6 years ago

Browse source code at

Authors: B G Manjunath and Frederico Caeiro; guidance from Prof. M. Ivette Gomes and Prof. M. Isabel Fraga Alves

Documentation:   PDF Manual  

GPL (>= 2) license

Depends on evd, stats

See at CRAN