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 , peaks over random threshold and a bias-reduced estimator . The package also computes moment, generalised Hill and mixed moment estimates for the extreme value index. High quantiles and value at risk estimators based on these estimators are implemented.


Reference manual

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install.packages("evt0")

1.1.5 by Leo Belzile, 2 years ago


Report a bug at https://github.com/lbelzile/evt0/issues/


Browse source code at https://github.com/cran/evt0


Authors: Leo Belzile [cre] , B. G. Manjunath [aut] , Frederico Caeiro [aut] , Maria Ivette. Gomes [ctb] , Maria Isabel Fraga Alves [ctb]


Documentation:   PDF Manual  


GPL (>= 2) license


Depends on evd, stats


See at CRAN