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.


News

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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install.packages("evt0")

1.1-3 by B G Manjunath, 6 years ago


http://www.r-project.org


Browse source code at https://github.com/cran/evt0


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