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ercv (version 1.0.1)

Fitting Tails by the Empirical Residual Coefficient of Variation

Description

Provides a methodology simple and trustworthy for the analysis of extreme values and multiple threshold tests for a generalized Pareto distribution, together with an automatic threshold selection algorithm. See del Castillo, J, Daoudi, J and Lockhart, R (2014) .

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Version

Install

install.packages('ercv')

Monthly Downloads

175

Version

1.0.1

License

GPL (>= 2)

Maintainer

Last Published

October 15th, 2019

Functions in ercv (1.0.1)

Quantile function

Fits peaks-over-threshold model of a sample

Extreme value index

EEMBC AutoBench suite (Benchmark 4)

Threshold selection algorithm

Transforms a heavy-tailed sampled to non-heavy tailed

Empirical residual coefficient of variation

Internal ercv functions

EEMBC AutoBench suite (Benchmark 1)

Cumulative distribution function

Multiple threshold test for a GPD

Bilbao waves data set

EEMBC AutoBench suite (Benchmark 2)

Coefficient of variation for a given extreme value index

Confidence interval for extreme value index

Exploratory empirical residual coefficient of variation

Plot of complementary empirical distribution function and the complementary distribution function

EEMBC AutoBench suite (Benchmark 3)

Euro/Dollar daily exchange rates