Fitting Tails by the Empirical Residual Coefficient of Variation

Provides a methodology simple and trustworthy for the analysis of extreme values and multiple threshold tests for a generalized Pareto distribution, together with an automatic threshold selection algorithm. See del Castillo, J, Daoudi, J and Lockhart, R (2014) .


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install.packages("ercv")

1.0.0 by Isabel Serra, 3 days ago


Browse source code at https://github.com/cran/ercv


Authors: Joan del Castillo, David MoriƱa Soler and Isabel Serra


Documentation:   PDF Manual  


GPL (>= 2) license


Suggests poweRlaw, evir


See at CRAN