@article{JSSv087i12, title={extremefit: A Package for Extreme Quantiles}, volume={87}, url={https://www.jstatsoft.org/index.php/jss/article/view/v087i12}, doi={10.18637/jss.v087.i12}, 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.}, number={12}, journal={Journal of Statistical Software}, author={Durrieu, Gilles and Grama, Ion and Jaunatre, Kevin and Pham, Quang-Khoai and Tricot, Jean-Marie}, year={2018}, pages={1–20} }