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

Downloads:

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
OS X El Capitan binaries: r-release: evt0_1.1-3.tgz
OS X Mavericks binaries: r-oldrel: evt0_1.1-3.tgz
Old sources: evt0 archive

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