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POT (version 1.1-7)

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's guide is available.

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Version

Install

install.packages('POT')

Monthly Downloads

948

Version

1.1-7

License

GPL (>= 2)

Maintainer

Christophe Dutang

Last Published

April 18th, 2019

Functions in POT (1.1-7)

Flood Flows

High Flood Flows of the Ardieres River at Beaujeu
print.uvpot

Printing uvpot objects
Profiled Confidence Intervals

Profiled Confidence interval for the GP Distribution
summary.pot

Compactly display the structure
tailind.test

Testing for Tail Independence in Extreme Value Models
convassess

Convergence Assessment for Fitted Objects
chimeas

Dependence Measures For Extreme Values Analysis
dens

Density Plot: Univariate Case
clust

Identify Extreme Clusters within a Time Series
coef.pot

Extract model coefficients of a 'pot' model
dexi

Compute the Density of the Extremal Index
confint.uvpot

Generic Function to Compute (Profile) Confidence Intervals
simmc

Simulate Markov Chains With Extreme Value Dependence Structures
anova.bvpot

Anova Tables: Bivariate Case
anova.uvpot

Anova Tables: Univariate Case
diplot

Threshold Selection: The Dispersion Index Plot
Fit the GP Distribution

Fitting a GPD to Peaks Over a Threshold
plot.uvpot

Graphical Diagnostic: the Univariate GPD Model
mrlplot

Threshold Selection: The Empirical Mean Residual Life Plot
pp

Probability Probability Plot
fitmcgpd

Fitting Markov Chain Models to Peaks Over a Threshold
gpd2frech

Transforms GPD Observations to Unit Frechet Ones and Vice Versa
retlev

Return Level Plot
Clusters

Extremal Index Plot
Return Periods Tools

Converts Return Periods to Probability and Vice Versa
fitpp

Fitting the point process characterisation to exceedances above a threshold
pickdep

The Pickands' Dependence Function
tcplot

Threshold Selection: The Threshold Choice Plot
fitexi

Extremal Index Estimation
Internal functions and methods

Internal functions and methods for the POT package.
plot.bvpot

Graphical Diagnostics: the Bivariate Extreme Value Distribution Model.
ts2tsd

Mobile Window on a Time Series
lmomplot

Threshold Selection: The L-moments Plot
plot.mcpot

Graphical Diagnostics: Markov Chains for All Exceedances.
print.bvpot

Printing bvpot objects
logLik.pot

Extract Log-Likelihood
qq

Quantile Quantile Plot
bvgpd

Parametric Bivariate GPD
simmcpot

Simulate an Markov Chain with a Fixed Extreme Value Dependence from a Fitted mcpot Object
specdens

Spectral Density Plot
print.mcpot

Printing mcpot objects
tsdep.plot

Diagnostic for Dependence within Time Series Extremes
L-moments

Compute Sample L-moments
Generalized Pareto

The Generalized Pareto Distribution
retlev.bvpot

Return Level Plot: Bivariate Case
Fisher Confidence Interval

Fisher Based Confidence Interval for the GP Distribution
fitbvgpd

Fitting Bivariate Peaks Over a Threshold Using Bivariate Extreme Value Distributions