Displaying 1 result from an estimated 1 matches for "riskmeasur".
Did you mean:
riskmeasures
2007 Jun 06
0
A question about riskmeasures() vs. qgpd() in library(evir)
Dear List,
This inquiry probably does not directly pertain to R.
I am using library(evir) to learn EVT. Based on my reading of things,
it is my understanding that if one wants to calculate quantiles of
GPD, one could use either riskmeasures() or qgpd(). However, using
data(danish) as an example, the quantile estimates produced by
riskmeasures() are considerably different from those produced by
qgpd() as follows:
> library(evir)
> data(danish)
> out <- gpd(danish, 10)
> riskmeasures(out, c(0.999, 0.9999))...