Package: evt0 1.1-4

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.

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

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evt0.pdf |evt0.html✨
evt0/json (API)
NEWS

# Install 'evt0' in R:
install.packages('evt0', repos = c('https://lbelzile.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/lbelzile/evt0/issues

Datasets:

On CRAN:

2.81 score 13 scripts 250 downloads 18 exports 1 dependencies

Last updated 1 years agofrom:134a090658. Checks:8 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKJan 27 2025
R-4.5-winOKJan 27 2025
R-4.5-macOKJan 27 2025
R-4.5-linuxOKJan 27 2025
R-4.4-winOKJan 27 2025
R-4.4-macOKJan 27 2025
R-4.3-winOKJan 27 2025
R-4.3-macOKJan 27 2025

Exports:DPOTghmmmomopmop.AREFFmop.betamop.MOPmop.qmop.RBMOPmop.rhoother.EVIother.qotherPORT.qPORT.HillPORT.MOPPORT.qPORT.RBMOP

Dependencies:evd