Fitting Tails by the Empirical Residual Coefficient of Variation

[Up] [Top]

Documentation for package ‘ercv’ version 1.0.1

Help Pages

ercv-package Empirical residual coefficient of variation
BIFP EEMBC AutoBench suite (Benchmark 3)
bilbao Bilbao waves data set
ccdfplot Plot of complementary empirical distribution function and the complementary distribution function
cievi Confidence interval for extreme value index
cvevi Coefficient of variation for a given extreme value index
cvplot Exploratory empirical residual coefficient of variation
ercv Empirical residual coefficient of variation
EURUSD Euro/Dollar daily exchange rates
evicv Extreme value index
FFT EEMBC AutoBench suite (Benchmark 2)
fitpot Fits peaks-over-threshold model of a sample
iFFT EEMBC AutoBench suite (Benchmark 1)
MA EEMBC AutoBench suite (Benchmark 4)
ppot Cumulative distribution function
qpot Quantile function
tdata Transforms a heavy-tailed sampled to non-heavy tailed
thrselect Threshold selection algorithm
Tm Multiple threshold test for a GPD