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ercv (version 1.0.0)

Fitting Tails by the Empirical Residual Coefficient of Variation

Description

Provides a methodology simple and trustworthy for the analysis of extreme values and multiple threshold tests for a generalized Pareto distribution, together with an automatic threshold selection algorithm. See del Castillo, J, Daoudi, J and Lockhart, R (2014) .

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Version

Install

install.packages('ercv')

Monthly Downloads

199

Version

1.0.0

License

GPL (>= 2)

Maintainer

Isabel Serra

Last Published

July 17th, 2017

Functions in ercv (1.0.0)

EEMBC AutoBench suite (Benchmark 2)

EEMBC AutoBench suite (Benchmark 3)

Confidence interval for extreme value index

Coefficient of variation for a given extreme value index

Fits peaks-over-threshold model of a sample

Cumulative distribution function

Euro/Dollar daily exchange rates

Multiple threshold test for a GPD

EEMBC AutoBench suite (Benchmark 4)

Internal ercv functions

Exploratory empirical residual coefficient of variation

EEMBC AutoBench suite (Benchmark 1)

Empirical residual coefficient of variation

Extreme value index

Threshold selection algorithm

Bilbao waves data set

Plot of complementary empirical distribution function and the complementary distribution function

Quantile function

Transforms a heavy-tailed sampled to non-heavy tailed