Fitting Tails by the Empirical Residual Coefficient of Variation
Plot of complementary empirical distribution function and the compleme...
Confidence interval for extreme value index
Coefficient of variation for a given extreme value index
Exploratory empirical residual coefficient of variation
Internal ercv functions
Empirical residual coefficient of variation
Extreme value index
Fits peaks-over-threshold model of a sample
Cumulative distribution function
Quantile function
Transforms a heavy-tailed sampled to non-heavy tailed
Threshold selection algorithm
Multiple threshold test for a GPD
Provides a methodology simple and trustworthy for the analysis of extreme values and multiple threshold tests for a generalized Pareto distribution, together with an automatic threshold selection algorithm. See del Castillo, J, Daoudi, J and Lockhart, R (2014) <doi:10.1111/sjos.12037>.