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extremis (version 1.2.1)

Statistics of Extremes

Description

Conducts inference in statistical models for extreme values (de Carvalho et al (2012), ; de Carvalho and Davison (2014), ; Einmahl et al (2016), ).

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Version

Install

install.packages('extremis')

Monthly Downloads

351

Version

1.2.1

License

GPL (>= 3)

Maintainer

Miguel de Carvalho

Last Published

December 9th, 2022

Functions in extremis (1.2.1)

kgvar

K-Geometric Means Algorithm for Value-at-Risk
cmodes

Mode Mass Function
lse

Selected Stocks from the London Stock Exchange
angdensity

Empirical-Likelihood Based Inference for the Angular Density
khetmeans

K-Means Clustering for Heteroscedastic Extremes
angcdf

Empirical-Likelihood Based Inference for the Angular Measure
angscdf

Smooth Empirical-Likelihood Based Inference for the Angular Measure
cdensity

Kernel Smoothed Scedasis Density
cdf

Empirical Scedasis Distribution Function
beatenberg

Beatenberg
plotFrechet

Unit Fréchet Scatterplot in Log-log Scale
sp500

Standard & Poor 500