Fit Generalized Extreme Value Distribution
Generalized Pareto Distribution
Plot of Empirical Distribution Function
Fit Generalized Pareto Model
Find Threshold
Estimate Extremal Index
Daily Log Returns on BMW Share Price
Generalized Extreme Value Distribution
Create Hill Plot
Decluster Point Process
Danish Fire Insurance Claims
The River Nidd Data
Interpret Results of Bivariate GPD Fit
Plot Fitted GEV Model
Implements Bivariate POT Method
Exploratory QQplot for Extreme Value Analysis
Plot Tail Estimate From GPD Model
Fit Gumbel Distribution
Calculate Record Development
Add Quantile Estimates to plot.gpd
Calculates Quantiles and Expected Shortfalls
Add Expected Shortfall Estimates to a GPD Plot
Plot Fitted POT Model
Sample Mean Excess Plot
Peaks Over Thresholds Model
The River Nidd Data
Plot Fitted GPD Model
SP Return Data to October 1987
Plot Fitted Bivariate GPD Model
Daily Log Returns on Siemens Share Price
SP Data to June 1993
Calculate Return Levels Based on GEV Fit
Plot of GPD Tail Estimate of a High Quantile
Plot for GPD Shape Parameter