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 | |
| No Results! | ||
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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 |
| suggests | evir , poweRlaw |
| depends | R (>= 2.15.0) |
| Contributors | Joan Castillo, David Soler, Isabel Serra |
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