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POT (version 1.1-10)

Generalized Pareto Distribution and Peaks Over Threshold

Description

Some functions useful to perform a Peak Over Threshold analysis in univariate and bivariate cases, see Beirlant et al. (2004) . A user guide is available in the vignette.

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Version

Install

install.packages('POT')

Monthly Downloads

1,278

Version

1.1-10

License

GPL (>= 2)

Maintainer

Christophe Dutang

Last Published

April 14th, 2022

Functions in POT (1.1-10)

clust

Identify Extreme Clusters within a Time Series
Fisher Confidence Interval

Fisher Based Confidence Interval for the GP Distribution
Clusters

Extremal Index Plot
mrlplot

Threshold Selection: The Empirical Mean Residual Life Plot
tailind.test

Testing for Tail Independence in Extreme Value Models
logLik.pot

Extract Log-Likelihood
tcplot

Threshold Selection: The Threshold Choice Plot
convassess

Convergence Assessment for Fitted Objects
confint.uvpot

Generic Function to Compute (Profile) Confidence Intervals
anova.uvpot

Anova Tables: Univariate Case
fitmcgpd

Fitting Markov Chain Models to Peaks Over a Threshold
Flood Flows

High Flood Flows of the Ardieres River at Beaujeu
dens

Density Plot: Univariate Case
dexi

Compute the Density of the Extremal Index
pickdep

The Pickands' Dependence Function
plot.mcpot

Graphical Diagnostics: Markov Chains for All Exceedances.
fitpp

Fitting the point process characterisation to exceedances above a threshold
fitexi

Extremal Index Estimation
gpd2frech

Transforms GPD Observations to Unit Frechet Ones and Vice Versa
retlev.bvpot

Return Level Plot: Bivariate Case
Return Periods Tools

Converts Return Periods to Probability and Vice Versa
bvgpd

Parametric Bivariate GPD
specdens

Spectral Density Plot
pp

Probability Probability Plot
plot.bvpot

Graphical Diagnostics: the Bivariate Extreme Value Distribution Model.
plot.uvpot

Graphical Diagnostic: the Univariate GPD Model
summary.pot

Compactly display the structure
Generalized Pareto

The Generalized Pareto Distribution
print.bvpot

Printing bvpot objects
chimeas

Dependence Measures For Extreme Values Analysis
print.mcpot

Printing mcpot objects
print.uvpot

Printing uvpot objects
POT-package

Overview of the POT package
diplot

Threshold Selection: The Dispersion Index Plot
simmc

Simulate Markov Chains With Extreme Value Dependence Structures
retlev

Return Level Plot
L-moments

Compute Sample L-moments
anova.bvpot

Anova Tables: Bivariate Case
ts2tsd

Mobile Window on a Time Series
fitbvgpd

Fitting Bivariate Peaks Over a Threshold Using Bivariate Extreme Value Distributions
simmcpot

Simulate an Markov Chain with a Fixed Extreme Value Dependence from a Fitted mcpot Object
tsdep.plot

Diagnostic for Dependence within Time Series Extremes
Fit the GP Distribution

Fitting a GPD to Peaks Over a Threshold
lmomplot

Threshold Selection: The L-moments Plot
Internal functions and methods

Internal functions and methods for the POT package.
Profiled Confidence Intervals

Profiled Confidence interval for the GP Distribution
qq

Quantile Quantile Plot
coef.pot

Extract model coefficients of a 'pot' model