extremefit: A Package for Extreme Quantiles
extremefit is a package to estimate the extreme quantiles and probabilities of rare events. The idea of our approach is to adjust the tail of the distribution function over a threshold with a Pareto distribution. We propose a pointwise data driven procedure to choose the threshold. To illustrate the...
| Published in: | Journal of Statistical Software |
|---|---|
| Main Authors: | , , , , |
| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2018-12-01
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| Subjects: | |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/2956 |