evt0-package {evt0}

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.

Author(s)

B G Manjunath [e-mail] and Frederico Caeiro [e-mail]; guidance from Prof. M. Ivette Gomes [e-mail] and Prof. M. Isabel Fraga Alves [e-mail]