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) .


Reference manual

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1.0.0 by Isabel Serra, a year ago

Browse source code at

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

Documentation:   PDF Manual  

GPL (>= 2) license

Suggests poweRlaw, evir

See at CRAN