ercv v1.0.0

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by Isabel Serra

Fitting Tails by the Empirical Residual Coefficient of Variation

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) <doi:10.1111/sjos.12037>.

Functions in ercv

Name Description
d2 EEMBC AutoBench suite (Benchmark 2)
d3 EEMBC AutoBench suite (Benchmark 3)
cievi Confidence interval for extreme value index
cvevi Coefficient of variation for a given extreme value index
fitpot Fits peaks-over-threshold model of a sample
ppot Cumulative distribution function
EURUSD Euro/Dollar daily exchange rates
Tm Multiple threshold test for a GPD
d4 EEMBC AutoBench suite (Benchmark 4)
ercv-internal Internal ercv functions
cvplot Exploratory empirical residual coefficient of variation
d1 EEMBC AutoBench suite (Benchmark 1)
ercv-package Empirical residual coefficient of variation
evicv Extreme value index
thrselect Threshold selection algorithm
bilbao Bilbao waves data set
ccdfplot Plot of complementary empirical distribution function and the complementary distribution function
qpot Quantile function
tdata Transforms a heavy-tailed sampled to non-heavy tailed
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Details

Type Package
Date 2017-07-17
Encoding UTF-8
Repository CRAN
License GPL (>= 2)
NeedsCompilation no
Packaged 2017-07-17 13:06:44 UTC; 47642555X
Date/Publication 2017-07-17 15:08:01 UTC

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