Extreme Risk Measures

---

Documentation for package ‘ExtremeRisks’ version 0.0.5

• DESCRIPTION file.

Help Pages

cpost_stat	Estimation of the scedasis function
dowjones	Negative log-returns of DOW JONES.
EBTailIndex	Expectile Based Tail Index Estimation
estExpectiles	High Expectile Estimation
estExtLevel	Extreme Level Estimation
estMultiExpectiles	Multidimensional High Expectile Estimation
estPOT	Estimation of generalized Pareto distributions
expectiles	Expectile Computation
ExpectMES	Marginal Expected Shortfall Expectile Based Estimation
extBQuant	Bayesian extreme quantile
extBQuantx	Conditional Bayesian extreme quantile
extMultiQuantile	Multidimensional Value-at-Risk (VaR) or Extreme Quantile (EQ) Estimation
extQuantile	Value-at-Risk (VaR) or Extreme Quantile (EQ) Estimation
fitdGPD	Maximum likelihood estimation of the parameters of the discrete generalized Pareto distribution
HTailIndex	Hill Tail Index Estimation
HypoTesting	Wald-Type Hypothesis Testing
MLTailIndex	Maximum Likelihood Tail Index Estimation
MomTailIndex	Moment based Tail Index Estimation
MultiHTailIndex	Multidimensional Hill Tail Index Estimation
plotBayes	Plot empirical Bayes inference results for continuous and discrete generalized Pareto distribution
predDens	Predictive posterior density of peak-over-threshold models
predDensx	Conditional predictive posterior density of peaks-over-threshold models
predExpectiles	Extreme Expectile Estimation
predMultiExpectiles	Multidimensional Extreme Expectile Estimation
predQuant	Predictive quantile based on the generalized Pareto model
QuantMES	Marginal Expected Shortfall Quantile Based Estimation
rbtimeseries	Simulation of Two-Dimensional Temporally Dependent Observations
rmdata	Simulation of d-Dimensional Temporally Independent Observations
rtimeseries	Simulation of One-Dimensional Temporally Dependent Observations
scedastic.test	Test on the effect of concomitant covariate on the extremes of the response variable
sp500	Negative log-returns of S&P 500.
testTailHomo	Test on tail homogeneity