R help - Feb 2011 - Optimal choice of the threshold u in Peak Over Threshold (POT) Approach

Dear All,

Could?someone please suggest me the way to calculate the optimal threshold in 
POT method via?any available ?packages in R?

Thanks,
Fir

Dear Fir,

for instance, have a look at the package 'ismev' and the function
mrl.plot(). The CRAN task view 'Finance' lists many more packages that
address EVT under the topic 'Risk management'.

Best,
Bernhard
> -----Urspr?ngliche Nachricht-----
> Von: r-help-bounces at r-project.org 
> [mailto:r-help-bounces at r-project.org] Im Auftrag von FMH
> Gesendet: Donnerstag, 10. Februar 2011 19:28
> An: r-help at r-project.org
> Betreff: [R] Optimal choice of the threshold u in Peak Over 
> Threshold (POT)Approach
> 
> Dear All,
> 
> Could?someone please suggest me the way to calculate the 
> optimal threshold in POT method via?any available ?packages in R?
> 
> Thanks,
> Fir
> 
> 
> 
> 
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