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:
evt0_1.1-4.tar.gz
evt0_1.1-4.zip(r-4.5)evt0_1.1-4.zip(r-4.4)evt0_1.1-4.zip(r-4.3)
evt0_1.1-4.tgz(r-4.4-any)evt0_1.1-4.tgz(r-4.3-any)
evt0_1.1-4.tar.gz(r-4.5-noble)evt0_1.1-4.tar.gz(r-4.4-noble)
evt0_1.1-4.tgz(r-4.4-emscripten)evt0_1.1-4.tgz(r-4.3-emscripten)
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')) |
Bug tracker:https://github.com/lbelzile/evt0/issues
- S_P500 - S&P500
Last updated 1 years agofrom:134a090658. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 29 2024 |
| R-4.5-win | OK | Oct 29 2024 |
| R-4.5-linux | OK | Oct 29 2024 |
| R-4.4-win | OK | Oct 29 2024 |
| R-4.4-mac | OK | Oct 29 2024 |
| R-4.3-win | OK | Oct 29 2024 |
| R-4.3-mac | OK | Oct 29 2024 |
Exports:DPOTghmmmomopmop.AREFFmop.betamop.MOPmop.qmop.RBMOPmop.rhoother.EVIother.qotherPORT.qPORT.HillPORT.MOPPORT.qPORT.RBMOP
Dependencies:evd
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates | evt0-package evt0 |
| Duration based peaks over threshold value-at-risk forecast | DPOT |
| Mean of order p statistic for the extreme value index | mop mop.beta mop.MOP mop.RBMOP mop.rho |
| Asymptotic efficiency of mean of order p | mop.AREFF |
| High qunatile estimate by mean of order p statistic | mop.q |
| Other extreme value index estimates | gh mm mo other.EVI |
| Other methods for high quantile estimate | other.q |
| Other peaks over random threshold high quantile estimate | otherPORT.q |
| Peaks over random threshold Hill estimate | PORT.Hill PORT.MOP PORT.RBMOP |
| Peaks over random threshold high quantile estimate | PORT.q |
| S&P500 | S_P500 |
