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POT

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) <doi:10.1002/0470012382>. A user guide is available in the vignette.

Functions (48)

POT-pkg

Overview of the POT package

anova.bvpot

Anova Tables: Bivariate Case

anova.uvpot

Anova Tables: Univariate Case

ardieres

High Flood Flows of the Ardieres River at Beaujeu

bvretlev

Return Level Plot: Bivariate Case

chimeas

Dependence Measures For Extreme Values Analysis

clust

Identify Extreme Clusters within a Time Series

coef.pot

Extract model coefficients of a 'pot' model

confint

Generic Function to Compute (Profile) Confidence Intervals

convassess

Convergence Assessment for Fitted Objects

dens

Density Plot: Univariate Case

dexi

Compute the Density of the Extremal Index

diplot

Threshold Selection: The Dispersion Index Plot

evmc

Simulate Markov Chains With Extreme Value Dependence Structures

exiplot

Extremal Index Plot

fisherconf

Fisher Based Confidence Interval for the GP Distribution

fitBvGPD

Fitting Bivariate Peaks Over a Threshold Using Bivariate Extreme Value Distributions

fitGPD

Fitting a GPD to Peaks Over a Threshold

fitMcGPD

Fitting Markov Chain Models to Peaks Over a Threshold

fitPP

Fitting the point process characterisation to exceedances above a threshold

fitexi

Extremal Index Estimation

gpd2frech

Transforms GPD Observations to Unit Frechet Ones and Vice Versa

internals

Internal functions and methods for the POT package.

lmomplot

Threshold Selection: The L-moments Plot

logLik.pot

Extract Log-Likelihood

mrlplot

Threshold Selection: The Empirical Mean Residual Life Plot

pickDep

The Pickands' Dependence Function

plot.bvpot

Graphical Diagnostics: the Bivariate Extreme Value Distribution Model.

plot.mcpot

Graphical Diagnostics: Markov Chains for All Exceedances.

plotGPD

Graphical Diagnostic: the Univariate GPD Model

Probability Probability Plot

print.bvpot

Printing bvpot objects

print.mcpot

Printing mcpot objects

print.uvpot

Printing uvpot objects

profconf

Profiled Confidence interval for the GP Distribution

Quantile Quantile Plot

rbvgpd

Parametric Bivariate GPD

retPer

Converts Return Periods to Probability and Vice Versa

retlev

Return Level Plot

samlmu

Compute Sample L-moments

simGPD

The Generalized Pareto Distribution

simmcpot

Simulate an Markov Chain with a Fixed Extreme Value Dependence from a Fitted mcpot Object

specdens

Spectral Density Plot

summary.pot

Compactly display the structure

tailind.test

Testing for Tail Independence in Extreme Value Models

tcplot

Threshold Selection: The Threshold Choice Plot

ts2tsd

Mobile Window on a Time Series

tsdep.plot

Diagnostic for Dependence within Time Series Extremes

POT

Generalized Pareto Distribution and Peaks Over Threshold

v1.1-10

GPL (>= 2)

Authors

Mathieu Ribatet [aut], Christophe Dutang [ctb,cre]

Initial release

POT

Functions (48)

POT

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