Computes extreme value index (EVI) estimate for heavy tailed models by mean of order p (MOP) and peaks over random threshold (PORT) Hill methodologies. Besides, also computes moment, generalised Hill and mixed moment estimates for EVI. Compute high quantile or value-at-risk (VaR) based on above EVI estimates.
B G Manjunath [email protected] and Frederico Caeiro [email protected]; guidance from Prof. M. Ivette Gomes [email protected] and Prof. M. Isabel Fraga Alves [email protected]