R Graphical Manual

Last data update: 2014.03.03

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R Release (3.2.3)
CranContrib
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Results 1 - 10 of 10 found.
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PORT.Hill (Package: evt0) :

This function performs peaks over random threshold (PORT) Hill methodology for estimating extreme value index (EVI) for heavy tailed models.

● Data Source: CranContrib
● Keywords: Hill, PORT, quasi-reduced bias
● Alias: PORT.Hill, PORT.MOP, PORT.RBMOP
● 0 images

DPOT (Package: evt0) :

This function calculate the value-at-risk (VaR) forecast for the durations-based peaks over threshold (DPOT) models.

● Data Source: CranContrib
● Keywords: DPOT, VaR
● Alias: DPOT
● 0 images

PORT.q (Package: evt0) :

This function computes high quantile or value-at-risk (VaR) estimate based on peaks over random threshold (PORT) Hill extreme value index (EVI) estimate.

● Data Source: CranContrib
● Keywords: Hill, PORT, VaR, quasi-reduced bias
● Alias: PORT.q
● 0 images

other.EVI (Package: evt0) :

This function computes moment (MO), generalized Hill (GH) and mixed moment (MM) estimates for extreme value index (EVI).

● Data Source: CranContrib
● Keywords: generalized Hill, mixed moment, moment
● Alias: gh, mm, mo, other.EVI
● 0 images

mop.q (Package: evt0) :

This function compute estimate of high quantile or value-at-risk (VAR) using mean of order p (MOP) method.

● Data Source: CranContrib
● Keywords: EVI, Hill, MOP, VaR, reduced-bias
● Alias: mop.q
● 0 images

other.q (Package: evt0) :

This function computes high quantile or value-at-risk (VaR) estimate based on moment (MO), generalized Hill (GH) and mixed moment (MM) extreme value index (EVI) estimates.

● Data Source: CranContrib
● Keywords: VaR, generalized Hill, mixed moment, moment
● Alias: other.q
● 0 images

evt0-package (Package: 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.

● Data Source: CranContrib
● Keywords:
● Alias: evt0, evt0-package
● 0 images

mop (Package: evt0) :

This function compute mean of order p (MOP) basic statistic for the extreme value index (EVI), which is indeed a simple generalisation of the Hill estimator.

● Data Source: CranContrib
● Keywords: EVI, Hill, MOP, reduced-bias
● Alias: mop, mop.MOP, mop.RBMOP, mop.beta, mop.rho
● 0 images

mop.AREFF (Package: evt0) :

This function compute asymptotic relative efficiency of mean of order p (MOP) with respect to classical Hill estimator.

● Data Source: CranContrib
● Keywords: AREFF, MOP
● Alias: mop.AREFF
● 0 images

otherPORT.q (Package: evt0) :

This function computes peaks over random threshold (PORT) high quantile or value-at-risk (VaR) based on moment (MO), generalized Hill (GH) and mixed moment (MM) extreme value index (EVI) estimates.

● Data Source: CranContrib
● Keywords: PORT, VaR, generalized Hill, mixed moment, moment
● Alias: otherPORT.q
● 0 images