evt0 (1.1-3)

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Mean of order p, peaks over random threshold Hill and high quantile estimates.

http://www.r-project.org
http://cran.r-project.org/web/packages/evt0

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.

Maintainer: B G Manjunath
Author(s): B G Manjunath and Frederico Caeiro; guidance from Prof. M. Ivette Gomes and Prof. M. Isabel Fraga Alves

License: GPL (>= 2)

Uses: Does not use any package

Released almost 6 years ago.

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