Fitting Tails by the Empirical Residual Coefficient of Variation: The ercv Package

Joan,del Castillo, Isabel Serra, Maria Padilla, David Moriña
2019 The R Journal  
This article is a self-contained introduction to the R package ercv and to the methodology on which it is based through the analysis of nine examples. The methodology is simple and trustworthy for the analysis of extreme values and relates the two main existing methodologies. The package contains R functions for visualizing, fitting and validating the distribution of tails. It also provides multiple threshold tests for a generalized Pareto distribution, together with an automatic threshold
more » ... atic threshold selection algorithm.
doi:10.32614/rj-2019-044 fatcat:2sc2cklk35clvd6jilvr62hhdy