extremefit: An R Package for Extreme Quantiles
Résumé
extremefit is an R 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 example and three real-world data sets available on the package.
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