ExtremeRisks

A set of procedures for estimating risks related to extreme events via risk measures such as Expectile, Value-at-Risk, etc. is provided. Estimation methods for univariate independent observations and temporal dependent observations are available. The methodology is extended to the case of independent multidimensional observations. The statistical inference is performed through parametric and non-parametric estimators. Inferential procedures such as confidence intervals, confidence regions and hypothesis testing are obtained by exploiting the asymptotic theory. Adapts the methodologies derived in Padoan and Stupfler (2020) doi:10.48550/arXiv.2004.04078, Padoan and Stupfler (2020) doi:10.48550/arXiv.2007.08944, Daouia et al. (2018) doi:10.1111/rssb.12254, Drees (2000) doi:10.1214/aoap/1019487617, Drees (2003) doi:10.3150/bj/1066223272, de Haan and Ferreira (2006) doi:10.1007/0-387-34471-3, de Haan et al. (2016) doi:10.1007/s00780-015-0287-6.

Last 30 days

This package has been downloaded 185 times in the last 30 days. Enough downloads to make a small wave in the niche community. The curiosity is spreading! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 6 times.

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Last 365 days

This package has been downloaded 2,268 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Sep 11, 2024 with 25 downloads.

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