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evt0: Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates

The R package proposes extreme value index estimators for heavy tailed models by mean of order p <doi:10.1016/j.csda.2012.07.019>, peaks over random threshold <doi:10.57805/revstat.v4i3.37> and a bias-reduced estimator <doi:10.1080/00949655.2010.547196>. The package also computes moment, generalised Hill <doi:10.2307/3318416> and mixed moment estimates for the extreme value index. High quantiles and value at risk estimators based on these estimators are implemented.

Version: 1.1.5
Depends: R (≥ 1.9.0), evd, stats
Published: 2024-07-08
DOI: 10.32614/CRAN.package.evt0
Author: Leo Belzile ORCID iD [cre], B. G. Manjunath ORCID iD [aut], Frederico Caeiro ORCID iD [aut], Maria Ivette. Gomes ORCID iD [ctb], Maria Isabel Fraga Alves ORCID iD [ctb]
Maintainer: Leo Belzile <belzilel at gmail.com>
BugReports: https://github.com/lbelzile/evt0/issues/
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: evt0 citation info
Materials: NEWS
CRAN checks: evt0 results

Documentation:

Reference manual: evt0.pdf

Downloads:

Package source: evt0_1.1.5.tar.gz
Windows binaries: r-devel: evt0_1.1.5.zip, r-release: evt0_1.1.5.zip, r-oldrel: evt0_1.1.5.zip
macOS binaries: r-release (arm64): evt0_1.1.5.tgz, r-oldrel (arm64): evt0_1.1.5.tgz, r-release (x86_64): evt0_1.1.5.tgz, r-oldrel (x86_64): evt0_1.1.5.tgz
Old sources: evt0 archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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