Statistics, Department of
The R Journal
Date of this Version
12-2019
Document Type
Article
Citation
The R Journal (December 2019) 11(2); Editor: Michael J. Kane
Abstract
This article is a self-contained introduction to the R package ercv and to the methodology on which it is based through the analysis of nine examples. The methodology is simple and trustworthy for the analysis of extreme values and relates the two main existing methodologies. The package contains R functions for visualizing, fitting and validating the distribution of tails. It also provides multiple threshold tests for a generalized Pareto distribution, together with an automatic threshold selection algorithm.
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2019, The R Foundation. Open access material. License: CC BY 4.0 International