CRAN Task View: Extreme Value Analysis

Maintainer:Christophe Dutang, Kevin Jaunatre
Contact:Christophe.Dutang at ensimag.fr
Version:2017-01-26
URL:https://CRAN.R-project.org/view=ExtremeValue

Extreme values modelling and estimation are an important challenge in various domains of application, such as environment, hydrology, finance, actuarial science, just to name a few. The restriction to the analysis of extreme values may be justified since the extreme part of a sample can be of a great importance. That is, it may exhibit a larger risk potential such as high concentration of air pollutants, flood, extreme claim sizes, price shocks in the four previous topics respectively. The statistical analysis of extreme may be spread out in many packages depending on the topic of application. In this task view, we present the packages from a methodological side.

Applications of extreme value theory can be found in other task views: for financial and actuarial analysis in the Finance task view, for environmental analysis in the Environmetrics task view. General implementation of probability distributions is studied in the Distributions task view.

The maintainers greatfully acknowledge E. Gilleland, M. Ribatet and A. Stephenson for their review for extreme value analysis packages (2013) and Achim Zeileis for his useful comments. If you think information is not accurate or if we have omitted a package or important information that should be mentioned here, please let us know.

Univariate Extreme Value Theory:

Bivariate Extreme Value Theory:

Multivariate Extreme Value Theory:

Classical graphics:


Graphics for univariate extreme value analysis
Graphic name Packages Function names
Dispersion index plot POT diplot
Distribution fitting plot extremeStat distLplot
Hill plot evir hill
Hill plot extremefit hill
Hill plot QRM hillPlot
Hill plot ReIns Hill
L-moment plot POT lmomplot
Mean residual life plot POT mrlplot
Mean residual life plot evd mrlplot
Mean residual life plot evir meplot
Mean residual life plot ismev mrl.plot
Mean residual life plot texmex mrl
Mean residual life plot QRM MEplot
Mean residual life plot ReIns MeanExcess
QQ Pareto plot POT qplot
QQ Pareto plot RTDE qqparetoplot
QQ Pareto plot QRM plotFittedGPDvsEmpiricalExcesses
QQ Pareto plot ReIns ParetoQQ
QQ Exponential plot QRM QQplot
QQ Exponential plot ReIns ExpQQ
QQ Lognormal plot ReIns LognormalQQ
QQ Weibull plot ReIns WeibullQQ
Risk measure plot QRM RMplot
Threshold choice plot POT tcplot
Threshold choice plot evd tcplot
Threshold choice plot QRM xiplot
Return level plot texmex rl
Return level plot POT retlev
Return level plot POT Return


Graphics for multivariate extreme value analysis
Bivariate threshold choice plot evd bvtcplot
Dependence measure (chi) plot POT chimeas
Dependence measure (chi) plot evd chiplot
Dependence measure (chi) plot texmex chi
Dependence diagnostic plot within time series POT tsdep.plot
Extremal index plot POT exiplot
Extremal index plot evd exiplot
Madogram SpatialExtremes madogram
F-Madogram SpatialExtremes fmadogram
L-Madogram SpatialExtremes lmadogram
Variogram SpatialExtremes variogram
Pickands' dependence function plot POT pickdep
Spectral density plot POT specdens

Classical books and review papers:

CRAN packages:

Related links: