extremefit: A Package for Extreme Quantiles

Gilles Durrieu

doi:10.18637/jss.v087.i12

extremefit: A Package for Extreme Quantiles

2018-01-01

5

OA

AI

DOI：10.18637/jss.v087.i12

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extremefit is a package to estimate the extreme quantiles and probabilities of rare events. The idea of our approach is to adjust the tail of the distribution function over a threshold with a Pareto distribution. We propose a pointwise data driven procedure to choose the threshold. To illustrate the method, we use simulated data sets and three real-world data sets included in the package.

Keyword:

nonparametric estimation

tail conditional probabilities

extreme conditional quantile

adaptive estimation

application

case study

extremefit: A Package for Extreme Quantiles

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