| Name : R-ExtremeRisks
| |
| Version : 0.0.4
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.1.12
| Date : 2024-06-14 11:40:16
|
| Group : Development/Libraries/Other
| Source RPM : R-ExtremeRisks-0.0.4-lp153.1.12.src.rpm
|
| Size : 0.43 MB
| |
| Packager : (none)
| |
| Summary : Extreme Risk Measures
|
Description :
A set of procedures for estimating risks related to extreme events via
risk measures such as Expectile, Value-at-Risk, etc. is provided.
Estimation methods for univariate independent observations and temporal
dependent observations are available. The methodology is extended to
the case of independent multidimensional observations. The statistical
inference is performed through parametric and non-parametric
estimators. Inferential procedures such as confidence intervals,
confidence regions and hypothesis testing are obtained by exploiting
the asymptotic theory. Adapts the methodologies derived in Padoan and
Stupfler (2020) < arxiv:2004.04078>, Padoan and Stupfler (2020)
< arxiv:2007.08944>, Daouia et al. (2018) < doi:10.1111/rssb.12254>,
Drees (2000) < doi:10.1214/aoap/1019487617>, Drees (2003)
< doi:10.3150/bj/1066223272>, de Haan and Ferreira (2006)
< doi:10.1007/0-387-34471-3>, de Haan et al. (2016)
< doi:10.1007/s00780-015-0287-6>.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
