CRAN Task View: Extreme Value Theory

Maintainer:Christophe Dutang, Kevin Jaunatre
Contact:Christophe.Dutang at ensimag.fr
Version:2016-10-19
URL:https://CRAN.R-project.org/view=ExtremeValueTheory

Extreme values modelling and estimation are an important challenge in various domains of application, such as environment, hydrology, finance, actuarial science, just to name a few. The restriction to the analysis of extreme values may be justified since the extreme part of a sample can be of a great importance. That is, it may exhibit a larger risk potential such as high concentration of air pollutants, flood, extreme claim sizes, price shocks in the four previous topics respectively. The statistical analysis of extreme may be spread out in many packages depending on the topic of application. In this task view, we present the packages from a methodological side.

Applications of extreme value theory can be found in other task views: for financial and actuarial analysis in the Finance task view, for environmental analysis in the Environmetrics task view. General implementation of probability distributions is studied in the Distributions task view.

The maintainers greatfully acknowledge E. Gilleland, M. Ribatet and A. Stephenson for their review for extreme value analysis packages (2013) and Achim Zeileis for his useful comments. If you think information is not accurate or if we have omitted a package or important information that should be mentioned here, please let us know.

Univariate Extreme Value Theory:

Bivariate Extreme Value Theory:

Multivariate Extreme Value Theory:

Classical books and review papers:

CRAN packages:

Related links: