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 [cre], B. G. Manjunath [aut], Frederico Caeiro [aut], Maria Ivette. Gomes [ctb], Maria Isabel Fraga Alves [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

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