Package: POT 1.1-11

Christophe Dutang

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.

Authors:Christophe Dutang [aut, cre], Mathieu Ribatet [aut]

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POT.pdf |POT.html✨
POT/json (API)

# Install 'POT' in R:
install.packages('POT', repos = c('https://r-forge.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://r-forge.r-project.org/projects/pot

Datasets:
  • ardieres - High Flood Flows of the Ardieres River at Beaujeu

On CRAN:

6.38 score 2 packages 104 scripts 1.9k downloads 20 mentions 42 exports 0 dependencies

Last updated 2 months agofrom:d9d5ab2631. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 16 2024
R-4.5-win-x86_64OKDec 16 2024
R-4.5-linux-x86_64OKDec 16 2024
R-4.4-win-x86_64OKDec 16 2024
R-4.4-mac-x86_64OKDec 16 2024
R-4.4-mac-aarch64OKDec 16 2024
R-4.3-win-x86_64OKDec 16 2024
R-4.3-mac-x86_64OKDec 16 2024
R-4.3-mac-aarch64OKDec 16 2024

Exports:chimeasclustconvassessdensdexidgpddiplotexiplotfitbvgpdfitexifitgpdfitmcgpdfitppfrech2gpdgpd.firlgpd.fiscalegpd.fishapegpd.pfrlgpd.pfscalegpd.pfshapegpd2frechlmomplotmrlplotpbvgpdpgpdpickdepppprob2rpqgpdqqrbvgpdretlevrgpdrp2probsamlmusimmcsimmcpotspecdenstailind.testtcplotts2tsdtsdep.plot

Dependencies:

An R Package for Univariate and Bivariate Peaks Over Threshold Analysis

Rendered fromPOT.Rnwusingutils::Sweaveon Dec 16 2024.

Last update: 2022-04-13
Started: 2012-08-16

Readme and manuals

Help Manual

Help pageTopics
Overview of the 'POT' packagePOT-package POT
Anova Tables: Bivariate Caseanova.bvpot
Anova Tables: Univariate Caseanova.uvpot
Parametric Bivariate GPDpbvgpd rbvgpd
Dependence Measures For Extreme Values Analysischimeas
Identify Extreme Clusters within a Time Seriesclust
Extremal Index Plotexiplot
Extract model coefficients of a ''pot'' modelcoef.pot
Generic Function to Compute (Profile) Confidence Intervalsconfint.uvpot
Convergence Assessment for Fitted Objectsconvassess convassess.bvpot convassess.mcpot convassess.uvpot
Density Plot: Univariate Casedens dens.uvpot
Compute the Density of the Extremal Indexdexi
Threshold Selection: The Dispersion Index Plotdiplot
Fisher Based Confidence Interval for the GP Distributiongpd.firl gpd.fiscale gpd.fishape
Fitting a GPD to Peaks Over a Thresholdfitgpd
Fitting Bivariate Peaks Over a Threshold Using Bivariate Extreme Value Distributionsfitbvgpd
Extremal Index Estimationfitexi
Fitting Markov Chain Models to Peaks Over a Thresholdfitmcgpd
Fitting the point process characterisation to exceedances above a thresholdfitpp
High Flood Flows of the Ardieres River at Beaujeuardieres
The Generalized Pareto Distributiondgpd pgpd qgpd rgpd
Transforms GPD Observations to Unit Frechet Ones and Vice Versafrech2gpd gpd2frech
Compute Sample L-momentssamlmu
Threshold Selection: The L-moments Plotlmomplot
Extract Log-LikelihoodlogLik.pot
Threshold Selection: The Empirical Mean Residual Life Plotmrlplot
The Pickands' Dependence Functionpickdep
Graphical Diagnostics: the Bivariate Extreme Value Distribution Model.plot.bvpot
Graphical Diagnostics: Markov Chains for All Exceedances.plot.mcpot
Graphical Diagnostic: the Univariate GPD Modelplot.uvpot
Probability Probability Plotpp pp.uvpot
Printing bvpot objectsprint.bvpot
Printing mcpot objectsprint.mcpot
Printing uvpot objectsprint.uvpot
Profiled Confidence interval for the GP Distributiongpd.pfrl gpd.pfscale gpd.pfshape
Quantile Quantile Plotqq qq.uvpot
Return Level Plotretlev retlev.mcpot retlev.uvpot
Return Level Plot: Bivariate Caseretlev.bvpot
Converts Return Periods to Probability and Vice Versaprob2rp rp2prob
Simulate Markov Chains With Extreme Value Dependence Structuressimmc
Simulate an Markov Chain with a Fixed Extreme Value Dependence from a Fitted mcpot Objectsimmcpot
Spectral Density Plotspecdens
Compactly display the structuresummary.pot
Testing for Tail Independence in Extreme Value Modelstailind.test
Threshold Selection: The Threshold Choice Plottcplot
Mobile Window on a Time Seriests2tsd
Diagnostic for Dependence within Time Series Extremestsdep.plot