Generalized Pareto Distribution and Peaks Over Threshold

Some functions useful to perform a Peak Over Threshold analysis in univariate and bivariate cases, see Beirlant et al. (2004) . A user guide is available in the vignette.

POT: Generalized Pareto Distribution and Peaks Over Threshold

POT provides some functions useful to perform a Peak Over Threshold analysis in univariate and bivariate cases, see Beirlant et al. (2004)

The package

The stable version of POT can be installed from CRAN using:

install.packages("POT")

Finally load the package in your current R session with the following R command:

library(POT)

Documentation

The overall documentation is available at

help(POT)

See also the vignette.