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.

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