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evt0 (version 1.1.5)

evt0-package: Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates

Description

Computes extreme value index (EVI) estimate for heavy tailed models by mean of order p (MOP) and peaks over random threshold (PORT) Hill methodologies. Besides, also computes moment, generalised Hill and mixed moment estimates for EVI. Compute high quantile or value-at-risk (VaR) based on above EVI estimates.

Arguments

Author

B G Manjunath bgmanjunath@gmail.com and Frederico Caeiro fac@fct.unl.pt; guidance from Prof. M. Ivette Gomes ivette.gomes@fc.ul.pt and Prof. M. Isabel Fraga Alves mialves@fc.ul.pt