Description
Computation of the Value-at-Risk for an extreme value mixture model.
Usage
VaR(x, ...)# S3 method for evmm
VaR(x, values = NULL, cred = 0.95, ...)
Value
A list with the following entries:
quantiles: a matrix containing the estimated value at risk, the posterior credibility intervals and the empirical estimate.
data: the dataset used to estimate the value at risk.
complete: a matrix with the value at risk for each value in the posterior sample.
Arguments
- x
the output of a model estimated with extrememix
- ...
additional arguments for compatibility.
- values
numeric vector of values of which to compute the value at risk.
- cred
amplitude of the posterior credibility interval.
Details
The Value-at-Risk for level q\
References
Lattanzi, Chiara, and Manuele Leonelli. "A changepoint approach for the identification of financial extreme regimes." Brazilian Journal of Probability and Statistics.