|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:: 939. Submitted: 2016-12-15. Published: 2018-12-20.
extremefit: A Package for Extreme Quantiles
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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.