evt0
Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates
v1.1.5
·
Jul 8, 2024
·
GPL (>= 2)
Description
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.
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OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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1.1.5
Mar 9, 2026