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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.1.5 |
rolling source/ R- | evt0_1.1.5.tar.gz |
64.4 KiB |
1.1.5 |
latest source/ R- | evt0_1.1.5.tar.gz |
64.4 KiB |
1.1.5 |
2026-04-23 source/ R- | evt0_1.1.5.tar.gz |
64.4 KiB |
1.1.5 |
2026-04-09 windows/windows R-4.5 | evt0_1.1.5.zip |
130.4 KiB |