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evir Functions for extreme value theory, which may be divided into the following groups; exploratory data analysis, block maxima, peaks over thresholds (univariate and bivariate), point processes, gev/gpd distributions.
>>Consulter la page... evd Extends simulation, distribution, quantile and density functions to univariate and multivariate parametric extreme value distributions, and provides fitting functions which calculate maximum likelihood estimates for univariate and bivariate maxima models, and for univariate and bivariate threshold models.
>>Consulter la page... fExtremes fExtremes from Rmetrics - Rmetrics is an Environment and Software Collection for teaching "Financial Engineering and Computational Finance"
>>Consulter la page... smoothtail Given independent and identically distributed observations X(1), ..., X(n) from a Generalized Pareto distribution with shape parameter gamma in [-1,0], this package offers several estimates to compute estimates of gamma. The estimates are based on the principle of replacing the order statistics by quantiles of a distribution function based on a log--concave density function. This procedure is justified by the fact that the GPD density is log--concave for gamma in [-1,0].
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