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evir (version 1.7-4)

Extreme Values in R

Description

Functions for extreme value theory, which may be divided into the following groups; exploratory data analysis, block maxima, peaks over thresholds (univariate and bivariate), point processes, gev/gpd distributions.

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Version

Install

install.packages('evir')

Monthly Downloads

1,824

Version

1.7-4

License

GPL (>= 2)

Maintainer

Bernhard Pfaff

Last Published

March 20th, 2018

Functions in evir (1.7-4)

gev

Fit Generalized Extreme Value Distribution
dgpd

Generalized Pareto Distribution
emplot

Plot of Empirical Distribution Function
gpd

Fit Generalized Pareto Model
findthresh

Find Threshold
exindex

Estimate Extremal Index
bmw

Daily Log Returns on BMW Share Price
dgev

Generalized Extreme Value Distribution
hill

Create Hill Plot
decluster

Decluster Point Process
danish

Danish Fire Insurance Claims
nidd.thresh

The River Nidd Data
interpret.gpdbiv

Interpret Results of Bivariate GPD Fit
plot.gev

Plot Fitted GEV Model
gpdbiv

Implements Bivariate POT Method
qplot

Exploratory QQplot for Extreme Value Analysis
tailplot

Plot Tail Estimate From GPD Model
gumbel

Fit Gumbel Distribution
records

Calculate Record Development
gpd.q

Add Quantile Estimates to plot.gpd
riskmeasures

Calculates Quantiles and Expected Shortfalls
gpd.sfall

Add Expected Shortfall Estimates to a GPD Plot
plot.potd

Plot Fitted POT Model
meplot

Sample Mean Excess Plot
pot

Peaks Over Thresholds Model
nidd.annual

The River Nidd Data
plot.gpd

Plot Fitted GPD Model
spto87

SP Return Data to October 1987
plot.gpdbiv

Plot Fitted Bivariate GPD Model
siemens

Daily Log Returns on Siemens Share Price
sp.raw

SP Data to June 1993
rlevel.gev

Calculate Return Levels Based on GEV Fit
quant

Plot of GPD Tail Estimate of a High Quantile
shape

Plot for GPD Shape Parameter