Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
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Authors: Gilles Durrieu, Ion Grama, Kevin Jaunatre, Quang-Khoai Pham, Jean-Marie Tricot
Title: extremefit: A Package for Extreme Quantiles
Abstract: 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 method, we use simulated data sets and three real-world data sets included in the package.

Page views:: 1631. Submitted: 2016-12-15. Published: 2018-12-20.
Paper: extremefit: A Package for Extreme Quantiles     Download PDF (Downloads: 900)
extremefit_1.0.0.tar.gz: R source package Download (Downloads: 111; 4MB)
v87i12.R: R replication code Download (Downloads: 107; 9KB)

DOI: 10.18637/jss.v087.i12

This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.