Package: fExtremes 4032.84

Paul J. Northrop

fExtremes: Rmetrics - Modelling Extreme Events in Finance

Provides functions for analysing and modelling extreme events in financial time Series. The topics include: (i) data pre-processing, (ii) explorative data analysis, (iii) peak over threshold modelling, (iv) block maxima modelling, (v) estimation of VaR and CVaR, and (vi) the computation of the extreme index.

Authors:Diethelm Wuertz [aut], Tobias Setz [aut], Yohan Chalabi [aut], Paul J. Northrop [cre, ctb]

fExtremes_4032.84.tar.gz
fExtremes_4032.84.zip(r-4.7)fExtremes_4032.84.zip(r-4.6)fExtremes_4032.84.zip(r-4.5)
fExtremes_4032.84.tgz(r-4.6-any)fExtremes_4032.84.tgz(r-4.5-any)
fExtremes_4032.84.tar.gz(r-4.7-any)fExtremes_4032.84.tar.gz(r-4.6-any)
fExtremes_4032.84.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
fExtremes/json (API)
NEWS

# Install 'fExtremes' in R:

install.packages('fExtremes', repos = c('https://r-forge.r-universe.dev', 'https://cloud.r-project.org'))

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

Datasets:

bmwRet - Time Series Data Sets
danishClaims - Time Series Data Sets

On CRAN:

7.06 score 1 stars 4 packages 140 scripts 1.1k downloads 1 mentions 67 exports 15 dependencies

Last updated from:d8bc4aeb58. Checks:9 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	OK	2722
source / vignettes	OK	156
linux-release-x86_64	OK	147
macos-release-arm64	OK	118
macos-oldrel-arm64	OK	152
windows-devel	OK	126
windows-release	OK	133
windows-oldrel	OK	126
wasm-release	OK	105

Exports:.gevmleFit .gevpwmFit .gevrlevelLLH .gummleFit .gumpwmFit blockMaxima blockTheta clusterTheta CVaR deCluster dgev dgpd emdPlot exindexesPlot exindexPlot ferrosegersTheta findThreshold gevFit gevMoments gevrlevelPlot gevSim gevSlider ghMeanExcessFit ghtMeanExcessFit gpdFit gpdMoments gpdQPlot gpdQuantPlot gpdRiskMeasures gpdSfallPlot gpdShapePlot gpdSim gpdSlider gpdTailPlot gumbelFit gumbelSim hillPlot hypMeanExcessFit lilPlot mePlot mrlPlot msratioPlot mxfPlot nigMeanExcessFit normMeanExcessFit pgev pgpd pointProcess qgev qgpd qqparetoPlot recordsPlot rgev rgpd runTheta shaparmDEHaan shaparmHill shaparmPickands shaparmPlot sllnPlot ssrecordsPlot tailPlot tailRisk tailSlider thetaSim VaR xacfPlot

Dependencies:cvar fastICA fBasics fGarch gbutils gss lattice MASS Matrix rbibutils Rdpack spatial stabledist timeDate timeSeries

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Modelling Extreme Events in Finance	fExtremes-package fExtremes
Extremes Data Preprocessing	blockMaxima DataPreprocessing deCluster findThreshold pointProcess
Extremal Index Estimation	blockTheta clusterTheta exindexesPlot exindexPlot ExtremeIndex ferrosegersTheta fTHETA fTHETA-class runTheta show,fTHETA-method thetaSim
Explorative Data Analysis	emdPlot ExtremesData ghMeanExcessFit ghtMeanExcessFit hypMeanExcessFit lilPlot mePlot mrlPlot msratioPlot mxfPlot nigMeanExcessFit normMeanExcessFit qqparetoPlot recordsPlot sllnPlot ssrecordsPlot xacfPlot
Generalized Extreme Value Distribution	dgev GevDistribution gevMoments gevSlider pgev qgev rgev
Generalized Extreme Value Modelling	GevMdaEstimation hillPlot shaparmDEHaan shaparmHill shaparmPickands shaparmPlot
Generalized Extreme Value Modelling	fGEVFIT fGEVFIT-class gevFit GevModelling gevSim gumbelFit gumbelSim plot.fGEVFIT show,fGEVFIT-method summary.fGEVFIT
Generalized Extreme Value Modelling	GevRisk gevrlevelPlot
Generalized Pareto Distribution	dgpd GpdDistribution gpdMoments gpdSlider pgpd qgpd rgpd
GPD Distributions for Extreme Value Theory	fGPDFIT fGPDFIT-class gpdFit GpdModelling gpdSim plot.fGPDFIT show,fGPDFIT-method summary.fGPDFIT
GPD Distributions for Extreme Value Theory	gpdQPlot gpdQuantPlot gpdRisk gpdRiskMeasures gpdSfallPlot gpdShapePlot gpdTailPlot tailPlot tailRisk tailSlider
Time Series Data Sets	bmwRet danishClaims TimeSeriesData
Value-at-Risk	CVaR ValueAtRisk VaR