R package evt0: Mean of order p, peaks over random threshold Hill and high quantile estimates. 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.
References in zbMATH (referenced in 1 article )
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- Chan, Stephen; Nadarajah, Saralees; Afuecheta, Emmanuel: An \textttRpackage for value at risk and expected shortfall (2016)