evt0

The R package proposes extreme value index estimators for heavy tailed models by mean of order p doi:10.1016/j.csda.2012.07.019, peaks over random threshold doi:10.57805/revstat.v4i3.37 and a bias-reduced estimator doi:10.1080/00949655.2010.547196. The package also computes moment, generalised Hill doi:10.2307/3318416 and mixed moment estimates for the extreme value index. High quantiles and value at risk estimators based on these estimators are implemented.