Package fExtremes

September 20, 2011

Version 2100.77 Revision 4405 Date 2009-09-28 Title Rmetrics - Extreme Financial Market Data Author Diethelm Wuertz and many others, see the SOURCE le Depends R (>= 2.4.0), methods, timeDate, timeSeries, fBasics, fGarch,fTrading Suggests RUnit, tcltk Maintainer Rmetrics Core Team <[email protected]> Description Environment for teaching Financial Engineering and Computational Finance NOTE SEVERAL PARTS ARE STILL PRELIMINARY AND MAY BE CHANGED IN THE FUTURE. THIS TYPICALLY INCLUDES FUNCTION AND ARGUMENT NAMES, AS WELL AS DEFAULTS FOR ARGUMENTS AND RETURN VALUES. LazyLoad yes LazyData yes License GPL (>= 2) URL http://www.rmetrics.org Repository CRAN Date/Publication 2009-09-30 19:26:48 1

DataPreprocessing

R topics documented:
DataPreprocessing ExtremeIndex . . . ExtremesData . . . GevDistribution . . GevMdaEstimation GevModelling . . . GevRisk . . . . . . GpdDistribution . . GpdModelling . . . gpdRisk . . . . . . TimeSeriesData . . ValueAtRisk . . . . Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 4 7 11 13 17 21 24 26 30 34 34 36

DataPreprocessing

Extremes Data Preprocessing

Description A collection and description of functions for data preprocessing of extreme values. This includes tools to separate data beyond a threshold value, to compute blockwise data like block maxima, and to decluster point process data. The functions are: blockMaxima findThreshold pointProcess deCluster Block Maxima from a vector or a time series, Upper threshold for a given number of extremes, Peaks over Threshold from a vector or a time series, Declusters clustered point process data.

Usage blockMaxima(x, block = c("monthly", "quarterly"), doplot = FALSE) findThreshold(x, n = floor( . 5*length(as.vector(x))), doplot = FALSE) pointProcess(x, u = quantile(x, .95), doplot = FALSE) deCluster(x, run = 2 , doplot = TRUE) Arguments block the block size. A numeric value is interpreted as the number of data values in each successive block. All the data is used, so the last block may not contain block observations. If the data has a times attribute containing (in an object of class "POSIXct", or an object that can be converted to that class, see as.POSIXct) the times/dates of each observation, then block may instead take

DataPreprocessing

3 the character values "month", "quarter", "semester" or "year". By default monthly blocks from daily data are assumed. a logical value. Should the results be plotted? By default TRUE. a numeric value or vector giving number of extremes above the threshold. By default, n is set to an integer representing 5% of the data from the whole data set x. parameter to be used in the runs method; any two consecutive threshold exceedances separated by more than this number of observations/days are considered to belong to different clusters. a numeric value at which level the data are to be truncated. By default the threshold value which belongs to the 95% quantile, u=quantile(x, .95). a numeric data vector from which findThreshold and blockMaxima determine the threshold values and block maxima values. For the function deCluster the argument x represents a numeric vector of threshold exceedances with a times attribute which should be a numeric vector containing either the indices or the times/dates of each exceedance (if times/dates, the attribute should be an object of class "POSIXct" or an object that can be converted to that class; see as.POSIXct).

doplot n

run

u x

Details Computing Block Maxima: The function blockMaxima calculates block maxima from a vector or a time series, whereas the function blocks is more general and allows for the calculation of an arbitrary function FUN on blocks. Finding Thresholds: The function findThreshold nds a threshold so that a given number of extremes lie above. When the data are tied a threshold is found so that at least the specied number of extremes lie above. De-Clustering Point Processes: The function deCluster declusters clustered point process data so that Poisson assumption is more tenable over a high threshold. Value blockMaxima returns a timeSeries object or a numeric vector of block maxima data. findThreshold returns a numeric value or vector of suitable thresholds. pointProcess returns a timeSeries object or a numeric vector of peaks over a threshold. deCluster returns a timeSeries object or a numeric vector for the declustered point process.

4 Author(s)

ExtremeIndex

Some of the functions were implemented from Alec Stephensons R-package evir ported from Alexander McNeils S library EVIS, Extreme Values in S, some from Alec Stephensons R-package ismev based on Stuart Coles code from his book, Introduction to Statistical Modeling of Extreme Values and some were written by Diethelm Wuertz. References Coles S. (2001); Introduction to Statistical Modelling of Extreme Values, Springer. Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer. Examples
## findThreshold # Threshold giving (at least) fifty exceedances for Danish data: x = as.timeSeries(data(danishClaims)) findThreshold(x, n = c(1 , 5 , 1 )) ## blockMaxima # Block Maxima (Minima) for left tail of BMW log returns: BMW = as.timeSeries(data(bmwRet)) colnames(BMW) = "BMW.RET" head(BMW) x = blockMaxima( BMW, block = 65) head(x) y = blockMaxima(-BMW, block = 65) head(y) y = blockMaxima(-BMW, block = "monthly") head(y)

## pointProcess # Return Values above threshold in negative BMW log-return data: PP = pointProcess(x = -BMW, u = quantile(as.vector(x), .75)) PP nrow(PP) ## deCluster # Decluster the 2 exceedances of a particular DC = deCluster(x = PP, run = 15, doplot = TRUE) DC nrow(DC)

ExtremeIndex

Extremal Index Estimation

ExtremeIndex Description

A collection and description of functions to simulate time series with a known extremal index, and to estimate the extremal index by four different kind of methods, the blocks method, the reciprocal mean cluster size method, the runs method, and the method of Ferro and Segers. The functiona are: thetaSim blockTheta clusterTheta runTheta ferrosegersTheta exindexPlot exindexesPlot Usage ## S4 method for signature fTHETA show(object) thetaSim(model = c("max", "pair"), n = 1 , theta = .5) Simulates a time Series with known theta, Computes theta from Block Method, Computes theta from Reciprocal Cluster Method, Computes theta from Run Method, Computes Theta according to Ferro and Seegers, Calculate and Plot Theta(1,2,3), Calculate Theta(1,2) and Plot Theta(1).

blockTheta(x, block = 22, quantiles = seq( .95 , .995, length = 1 ), title = NULL, description = NULL) clusterTheta(x, block = 22, quantiles = seq( .95 , .995, length = 1 ), title = NULL, description = NULL) runTheta(x, block = 22, quantiles = seq( .95 , .995, length = 1 ), title = NULL, description = NULL) ferrosegersTheta(x, quantiles = seq( .95 , .995, length = 1 ), title = NULL, description = NULL) exindexPlot(x, block = c("monthly", "quarterly"), start = 5, end = NA, doplot = TRUE, plottype = c("thresh", "K"), labels = TRUE, ...) exindexesPlot(x, block = 22, quantiles = seq( .95 , .995, length = 1 ), doplot = TRUE, labels = TRUE, ...) Arguments block [*Theta] an integer value, the block size. Currently only integer specied block sizes are supported. [exindex*Plot] the block size. Either "monthly", "quarterly" or an integer value. An integer value is interpreted as the number of data values in each successive block. The default value is "monthly" which correpsond for daily data to an approximately 22-day periods. a character string which allows for a brief description.

description

6 doplot labels model a logical, should the results be plotted?

ExtremeIndex

whether or not axes should be labelled. If set to FALSE then user specied lables can be passed through the "..." argument. [thetaSim] a character string denoting the name of the model. Either "max" or "pair", the rst representing the maximimum Frechet series, and the second the paired exponential series. [thetaSim] an integer value, the length of the time series to be generated. an object of class "fTHETA" as returned by the functions *Theta. [exindexPlot] whether plot is to be by increasing threshold (thresh) or increasing K value (K). [exindexesPlot] a numeric vector of quantile values. [exindexPlot] start is the lowest value of K at which to plot a point, and end the highest value; K is the number of blocks in which a specied threshold is exceeded. [thetaSim] a numeric value between 0 and 1 setting the value of the extremal index for the maximum Frechet time series. (Not used in the case of the paired exponential series.) a character string which allows for a project title. a timeSeries object or any other object which can be transformed by the function as.vector into a numeric vector. "monthly" and "quarterly" blocks require x to be an object of class "timeSeries". additional arguments passed to the plot function.

n object plottype quantiles start, end

theta

title x

... Value

exindexPlot returns a data frame of results with the following columns: N, K, un, theta2, and theta. A plot with K on the lower x-axis and threshold Values on the upper x-axis versus the extremal index is displayed. exindexesPlot returns a data.frame with four columns: thresholds, theta1, theta2, and theta3. A plot with quantiles on the x-axis and versus the extremal indexes is displayed. Author(s) Alexander McNeil, for parts of the exindexPlot function, and Diethelm Wuertz for the exindexesPlot function. References Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer. Chapter 8, 413429.

ExtremesData See Also hillPlot, gevFit. Examples

## Extremal Index for the right and left tails ## of the BMW log returns: data(bmwRet) par(mfrow = c(2, 2), cex = .7) exindexPlot( as.timeSeries(bmwRet), block = "quarterly") exindexPlot(-as.timeSeries(bmwRet), block = "quarterly") ## Extremal Index for the right and left tails ## of the BMW log returns: exindexesPlot( as.timeSeries(bmwRet), block = 65) exindexesPlot(-as.timeSeries(bmwRet), block = 65)

ExtremesData

Explorative Data Analysis

Description A collection and description of functions for explorative data analysis. The tools include plot functions for emprical distributions, quantile plots, graphs exploring the properties of exceedences over a threshold, plots for mean/sum ratio and for the development of records. The functions are: emdPlot qqparetoPlot mePlot mrlPlot mxfPlot msratioPlot recordsPlot ssrecordsPlot sllnPlot lilPlot xacfPlot normMeanExcessFit ghMeanExcessFit hypMeanExcessFit nigMeanExcessFit ghtMeanExcessFit Plot of empirical distribution function, Exponential/Pareto quantile plot, Plot of mean excesses over a threshold, another variant, mean residual life plot, another variant, with condence intervals, Plot of the ratio of maximum and sum, Record development compared with iid data, another variant, investigates subsamples, veries Kolmogorovs strong law of large numbers, veries Hartman-Wintners law of the iterated logarithm, ACF of exceedences over a threshold, ts mean excesses with a normal density, ts mean excesses with a GH density, ts mean excesses with a HYP density, ts mean excesses with a NIG density, ts mean excesses with a GHT density.

8 Usage emdPlot(x, doplot = TRUE, plottype = c("xy", "x", "y", " "), labels = TRUE, ...)

ExtremesData

qqparetoPlot(x, xi = , trim = NULL, threshold = NULL, doplot = TRUE, labels = TRUE, ...) mePlot(x, doplot = TRUE, labels = TRUE, ...) mrlPlot(x, ci = .95, umin = mean(x), umax = max(x), nint = 1 , doplot = TRUE, plottype = c("autoscale", ""), labels = TRUE, ...) mxfPlot(x, u = quantile(x, . 5), doplot = TRUE, labels = TRUE, ...) msratioPlot(x, p = 1:4, doplot = TRUE, labels = TRUE, ...) recordsPlot(x, ci = .95, doplot = TRUE, labels = TRUE, ...) ssrecordsPlot(x, subsamples = 1 , doplot = TRUE, plottype = c("lin", "log"), labels = TRUE, ...) sllnPlot(x, doplot = TRUE, labels = TRUE, ...) lilPlot(x, doplot = TRUE, labels = TRUE, ...) xacfPlot(x, u = quantile(x, .95), lag.max = 15, doplot = TRUE, which = c("all", 1, 2, 3, 4), labels = TRUE, ...) normMeanExcessFit(x, doplot = TRUE, trace = TRUE, ...) ghMeanExcessFit(x, doplot = TRUE, trace = TRUE, ...) hypMeanExcessFit(x, doplot = TRUE, trace = TRUE, ...) nigMeanExcessFit(x, doplot = TRUE, trace = TRUE, ...) ghtMeanExcessFit(x, doplot = TRUE, trace = TRUE, ...) Arguments ci doplot labels lag.max [recordsPlot] a condence level. By default 0.95, i.e. 95%. a logical value. Should the results be plotted? By default TRUE. a logical value. Whether or not x- and y-axes should be automatically labelled and a default main title should be added to the plot. By default TRUE. [xacfPlot] maximum number of lags at which to calculate the autocorrelation functions. The default value is 15. [mrlPlot] the number of intervals, see umin and umax. The default value is 100. [msratioPlot] the power exponents, a numeric vector. By default a sequence from 1 to 4 in unit integer steps. [emdPlot] which axes should be on a log scale: "x" x-axis only; "y" y-axis only; "xy"

nint p

plottype

ExtremesData

9 both axes; "" neither axis. [msratioPlot] a logical, if set to "autoscale", then the scale of the plots are automatically determined, any other string allows user specied scale information through the ... argument. [ssrecordsPlot] one from two options can be select either "lin" or "log". The default creates a linear plot.

subsamples threshold, trim

[ssrecordsPlot] the number of subsamples, by default 10, an integer value. [qPlot][xacfPlot] a numeric value at which data are to be left-truncated, value at which data are to be right-truncated or the thresold value, by default 95%.

trace u umin, umax

a logical ag, by default TRUE. Should the calculations be traced? a numeric value at which level the data are to be truncated. By default the threshold value which belongs to the 95% quantile, u=quantile(x, .95). [mrlPlot] range of threshold values. If umin and/or umax are not available, then by default they are set to the following values: umin=mean(x) and umax=max(x). [xacfPlot] a numeric or character value, if which="all" then all four plots are displayed, if which is an integer between one and four, then the rst, second, third or fourth plot will be displayed. numeric data vectors or in the case of x an object to be plotted. the shape parameter of the generalized Pareto distribution. additional arguments passed to the FUN or plot function.

which

x, y xi ... Details

Empirical Distribution Function: The function emdPlot is a simple explanatory function. A straight line on the double log scale indicates Pareto tail behaviour. QuantileQuantile Pareto Plot: qqparetoPlot creates a quantile-quantile plot for threshold data. If xi is zero the reference distribution is the exponential; if xi is non-zero the reference distribution is the generalized Pareto with that parameter value expressed by xi. In the case of the exponential, the plot is interpreted as follows: Concave departures from a straight line are a sign of heavy-tailed behaviour, convex departures show thin-tailed behaviour. Mean Excess Function Plot:

10

ExtremesData Three variants to plot the mean excess function are available: A sample mean excess plot over increasing thresholds, and two mean excess function plots with condence intervals for discrimination in the tails of a distribution. In general, an upward trend in a mean excess function plot shows heavy-tailed behaviour. In particular, a straight line with positive gradient above some threshold is a sign of Pareto behaviour in tail. A downward trend shows thin-tailed behaviour whereas a line with zero gradient shows an exponential tail. Here are some hints: Because upper plotting points are the average of a handful of extreme excesses, these may be omitted for a prettier plot. For mrlPlot and mxfPlot the upper tail is investigated; for the lower tail reverse the sign of the data vector. Plot of the Maximum/Sum Ratio: The ratio of maximum and sum is a simple tool for detecting heavy tails of a distribution and for giving a rough estimate of the order of its nite moments. Sharp increases in the curves of a msratioPlot are a sign for heavy tail behaviour. Plot of the Development of Records: These are functions that investigate the development of records in a dataset and calculate the expected behaviour for iid data. recordsPlot counts records and reports the observations at which they occur. In addition subsamples can be investigated with the help of the function ssrecordsPlot. Plot of Kolmogorovs and Hartman-Winterns Laws: The function sllnPlot veries Kolmogorovs strong law of large numbers, and the function lilPlot veries Hartman-Wintners law of the iterated logarithm. ACF Plot of Exceedences over a Thresold: This function plots the autocorrelation functions of heights and distances of exceedences over a threshold.

Value The functions return a plot. Note The plots are labeled by default with a x-label, a y-label and a main title. If the argument labels is set to FALSE neither a x-label, a y-label nor a main title will be added to the graph. To add user dened label strings just use the function title(xlab="...", ylab="...", main="..."). Author(s) Some of the functions were implemented from Alec Stephensons R-package evir ported from Alexander McNeils S library EVIS, Extreme Values in S, some from Alec Stephensons R-package ismev based on Stuart Coles code from his book, Introduction to Statistical Modeling of Extreme Values and some were written by Diethelm Wuertz.

GevDistribution References Coles S. (2001); Introduction to Statistical Modelling of Extreme Values, Springer. Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer. Examples
## Danish fire insurance data: data(danishClaims) danishClaims = as.timeSeries(danishClaims) ## emdPlot # Show Pareto tail behaviour: par(mfrow = c(2, 2), cex = .7) emdPlot(danishClaims) ## qqparetoPlot # QQ-Plot of heavy-tailed Danish fire insurance data: qqparetoPlot(danishClaims, xi = .7) ## mePlot # Sample mean excess plot of heavy-tailed Danish fire: mePlot(danishClaims) ## ssrecordsPlot # Record fire insurance losses in Denmark: ssrecordsPlot(danishClaims, subsamples = 1 )

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GevDistribution

Generalized Extreme Value Distribution

Description Density, distribution function, quantile function, random number generation, and true moments for the GEV including the Frechet, Gumbel, and Weibull distributions. The GEV distribution functions are: dgev pgev qgev rgev gevMoments gevSlider Usage dgev(x, xi = 1, mu = , beta = 1, log = FALSE) density of the GEV distribution, probability function of the GEV distribution, quantile function of the GEV distribution, random variates from the GEV distribution, computes true mean and variance, displays density or rvs from a GEV.

12 pgev(q, xi = 1, mu = qgev(p, xi = 1, mu = rgev(n, xi = 1, mu = gevMoments(xi = , beta = 1, lower.tail = TRUE) , beta = 1, lower.tail = TRUE) , beta = 1) , beta = 1)

GevDistribution

, mu =

gevSlider(method = c("dist", "rvs")) Arguments log lower.tail method n p q x xi, mu, beta a logical, if TRUE, the log density is returned. a logical, if TRUE, the default, then probabilities are P[X <= x], otherwise, P[X > x]. a character sgtring denoting what should be displayed. Either the density and "dist" or random variates "rvs". the number of observations. a numeric vector of probabilities. [hillPlot] probability required when option quantile is chosen. a numeric vector of quantiles. a numeric vector of quantiles. xi is the shape parameter, mu the location parameter, and beta is the scale parameter. The default values are xi=1, mu= , and beta=1. Note, if xi= the distribution is of type Gumbel.

Value d* returns the density, p* returns the probability, q* returns the quantiles, and r* generates random variates. All values are numeric vectors. Author(s) Alec Stephenson for Rs evd and evir package, and Diethelm Wuertz for this R-port. References Coles S. (2001); Introduction to Statistical Modelling of Extreme Values, Springer. Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer.

GevMdaEstimation Examples
## rgev # Create and plot 1 Weibull distributed rdv: r = rgev(n = 1 , xi = -1) plot(r, type = "l", col = "steelblue", main = "Weibull Series") grid() ## dgev # Plot empirical density and compare with true density: hist(r[abs(r)<1 ], nclass = 25, freq = FALSE, xlab = "r", xlim = c(-5,5), ylim = c( ,1.1), main = "Density") box() x = seq(-5, 5, by = . 1) lines(x, dgev(x, xi = -1), col = "steelblue") ## pgev # Plot df and compare with true df: plot(sort(r), (1:length(r)/length(r)), xlim = c(-3, 6), ylim = c( , 1.1), cex = .5, ylab = "p", xlab = "q", main = "Probability") grid() q = seq(-5, 5, by = .1) lines(q, pgev(q, xi = -1), col = "steelblue") ## qgev # Compute quantiles, a test: qgev(pgev(seq(-5, 5, .25), xi = -1), xi = -1) ## gevMoments: # Returns true mean and variance: gevMoments(xi = , mu = , beta = 1) ## Slider: # gevSlider(method = "dist") # gevSlider(method = "rvs")

13

GevMdaEstimation

Generalized Extreme Value Modelling

Description A collection and description functions to estimate the parameters of the GEV distribution. To model the GEV three types of approaches for parameter estimation are provided: Maximum likelihood estimation, probability weighted moment method, and estimation by the MDA approach. MDA includes functions for the Pickands, Einmal-Decker-deHaan, and Hill estimators together with several plot variants. Maximum Domain of Attraction estimators:

14 hillPlot shaparmPlot Usage

GevMdaEstimation shape parameter and Hill estimate of the tail index, variation of shape parameter with tail depth.

hillPlot(x, start = 15, ci = .95, doplot = TRUE, plottype = c("alpha", "xi"), labels = TRUE, ...) shaparmPlot(x, p = . 1*(1:1 ), xiRange = NULL, alphaRange = NULL, doplot = TRUE, plottype = c("both", "upper")) shaparmPickands(x, doplot = TRUE, shaparmHill(x, p = doplot = TRUE, shaparmDEHaan(x, p doplot = TRUE, Arguments alphaRange, xiRange [saparmPlot] plotting ranges for alpha and xi. By default the values are automatically selected. ci [hillPlot] probability for asymptotic condence band; for no condence band set ci to zero. a logical. Should the results be plotted? [shaparmPlot] a vector of logicals of the same lengths as tails dening for wich tail depths plots should be created, by default plots will be generated for a tail depth of 5 percent. By default c(FALSE, FALSE, FALSE, FALSE, TRUE, FALSE, FALSE, FALSE, FALSE, FALSE). [hillPlot] whether or not axes should be labelled. [hillPlot] whether alpha, xi (1/alpha) or quantile (a quantile estimate) should be plotted. [qgev] a numeric vector of probabilities. [hillPlot] probability required when option quantile is chosen. [hillPlot] lowest number of order statistics at which to plot a point. [dgev][devd] a numeric vector of quantiles. [gevFit] data vector. In the case of method="mle" the interpretation depends on the value of block: if no block size is specied then data are interpreted as block maxima; p = . 5, xiRange = NULL, plottype = c("both", "upper"), labels = TRUE, ...) . 5, xiRange = NULL, plottype = c("both", "upper"), labels = TRUE, ...) = . 5, xiRange = NULL, plottype = c("both", "upper"), labels = TRUE, ...)

doplot

labels plottype

start x

GevMdaEstimation

15 if block size is set, then data are interpreted as raw data and block maxima are calculated. [hillPlot][shaparmPlot] the data from which to calculate the shape parameter, a numeric vector. [print][plot] a tted object of class "gevFit".

...

[gevFit] control parameters optionally passed to the optimization function. Parameters for the optimization function are passed to components of the control argument of optim. [hillPlot] other graphics parameters. [plot][summary] arguments passed to the plot function.

Details Parameter Estimation: gevFit and gumbelFit estimate the parameters either by the probability weighted moment method, method="pwm" or by maximum log likelihood estimation method="mle". The summary method produces diagnostic plots for tted GEV or Gumbel models. Methods: print.gev, plot.gev and summary.gev are print, plot, and summary methods for a tted object of class gev. Concerning the summary method, the data are converted to unit exponentially distributed residuals under null hypothesis that GEV ts. Two diagnostics for iid exponential data are offered. The plot method provides two different residual plots for assessing the tted GEV model. Two diagnostics for iid exponential data are offered. Return Level Plot: gevrlevelPlot calculates and plots the k-block return level and 95% condence interval based on a GEV model for block maxima, where k is specied by the user. The k-block return level is that level exceeded once every k blocks, on average. The GEV likelihood is reparameterized in terms of the unknown return level and prole likelihood arguments are used to construct a condence interval. Hill Plot: The function hillPlot investigates the shape parameter and plots the Hill estimate of the tail index of heavy-tailed data, or of an associated quantile estimate. This plot is usually calculated from the alpha perspective. For a generalized Pareto analysis of heavy-tailed data using the gpdFit function, it helps to plot the Hill estimates for xi. Shape Parameter Plot:

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GevMdaEstimation

The function shaparmPlot investigates the shape parameter and plots for the upper and lower tails the shape parameter as a function of the taildepth. Three approaches are considered, the Pickands estimator, the Hill estimator, and the Decker-Einmal-deHaan estimator. Value gevSim returns a vector of data points from the simulated series. gevFit returns an object of class gev describing the t. print.summary prints a report of the parameter t. summary performs diagnostic analysis. The method provides two different residual plots for assessing the tted GEV model. gevrlevelPlot returns a vector containing the lower 95% bound of the condence interval, the estimated return level and the upper 95% bound. hillPlot displays a plot. shaparmPlot returns a list with one or two entries, depending on the selection of the input variable both.tails. The two entries upper and lower determine the position of the tail. Each of the two variables is again a list with entries pickands, hill, and dehaan. If one of the three methods will be discarded the printout will display zeroes. Note GEV Parameter Estimation: If method "mle" is selected the parameter tting in gevFit is passed to the internal function gev.mle or gumbel.mle depending on the value of gumbel, FALSE or TRUE. On the other hand, if method "pwm" is selected the parameter tting in gevFit is passed to the internal function gev.pwm or gumbel.pwm again depending on the value of gumbel, FALSE or TRUE. Author(s) Alec Stephenson for Rs evd and evir package, and Diethelm Wuertz for this R-port.

GevModelling References Coles S. (2001); Introduction to Statistical Modelling of Extreme Values, Springer. Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer. Examples
## Load Data: x = as.timeSeries(data(danishClaims)) colnames(x) <- "Danish" head(x) ## hillPlot # Hill plot of heavy-tailed Danish fire insurance data par(mfrow = c(1, 1)) hillPlot(x, plottype = "xi") grid()

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GevModelling

Generalized Extreme Value Modelling

Description A collection and description functions to estimate the parameters of the GEV distribution. To model the GEV three types of approaches for parameter estimation are provided: Maximum likelihood estimation, probability weighted moment method, and estimation by the MDA approach. MDA includes functions for the Pickands, Einmal-Decker-deHaan, and Hill estimators together with several plot variants. The GEV modelling functions are: gevSim gumbelSim gevFit gumbelFit print plot summary gevrlevelPlot Usage gevSim(model = list(xi = - .25, mu = , beta = 1), n = 1 , seed = NULL) gumbelSim(model = list(mu = , beta = 1), n = 1 , seed = NULL) gevFit(x, block = 1, type = c("mle", "pwm"), title = NULL, description = NULL, ...) gumbelFit(x, block = 1, type = c("mle", "pwm"), title = NULL, description = NULL, ...) generates data from the GEV distribution, generates data from the Gumbel distribution, ts data to the GEV distribution, ts data to the Gumbel distribution, print method for a tted GEV object, plot method for a tted GEV object, summary method for a tted GEV object, k-block return level with condence intervals.

18

GevModelling

## S4 method for signature fGEVFIT show(object) ## S3 method for class fGEVFIT plot(x, which = "ask", ...) ## S3 method for class fGEVFIT summary(object, doplot = TRUE, which = "all", ...) Arguments block description doplot block size. a character string which allows for a brief description. a logical. Should the results be plotted? [shaparmPlot] a vector of logicals of the same lengths as tails dening for wich tail depths plots should be created, by default plots will be generated for a tail depth of 5 percent. By default c(FALSE, FALSE, FALSE, FALSE, TRUE, FALSE, FALSE, FALSE, FALSE, FALSE). [gevSim][gumbelSim] a list with components shape, location and scale giving the parameters of the GEV distribution. By default the shape parameter has the value -0.25, the location is zero and the scale is one. To t random deviates from a Gumbel distribution set shape= . [gevSim][gumbelSim] number of generated data points, an integer value. [rgev] the number of observations. [summary][grlevelPlot] a tted object of class "gevFit". [gevSim] an integer value to set the seed for the random number generator. [gevFit] a character string which allows for a project title. a character string denoting the type of parameter estimation, either by maximum likelihood estimation "mle", the default value, or by the probability weighted moment menthod "pwm". [plot][summary] a vector of logicals, one for each plot, denoting which plot should be displayed. Alkternatively if which="ask" the user will be interactively asked which of the plots should be desplayed. By default which="all". [dgev][devd] a numeric vector of quantiles. [gevFit] data vector. In the case of method="mle" the interpretation depends on the value of block: if no block size is specied then data are interpreted as block maxima; if block size is set, then data are interpreted as raw data and block maxima are

model

object seed title type

which

GevModelling calculated. [hillPlot][shaparmPlot] the data from which to calculate the shape parameter, a numeric vector. [print][plot] a tted object of class "gevFit". xi, mu, beta

19

[*gev] xi is the shape parameter, mu the location parameter, and sigma is the scale parameter. The default values are xi=1, mu= , and beta=1. Note, if xi= the distribution is of type Gumbel. [gevFit] control parameters optionally passed to the optimization function. Parameters for the optimization function are passed to components of the control argument of optim. [hillPlot] other graphics parameters. [plot][summary] arguments passed to the plot function.

...

Details Parameter Estimation: gevFit and gumbelFit estimate the parameters either by the probability weighted moment method, method="pwm" or by maximum log likelihood estimation method="mle". The summary method produces diagnostic plots for tted GEV or Gumbel models. Methods: print.gev, plot.gev and summary.gev are print, plot, and summary methods for a tted object of class gev. Concerning the summary method, the data are converted to unit exponentially distributed residuals under null hypothesis that GEV ts. Two diagnostics for iid exponential data are offered. The plot method provides two different residual plots for assessing the tted GEV model. Two diagnostics for iid exponential data are offered. Return Level Plot: gevrlevelPlot calculates and plots the k-block return level and 95% condence interval based on a GEV model for block maxima, where k is specied by the user. The k-block return level is that level exceeded once every k blocks, on average. The GEV likelihood is reparameterized in terms of the unknown return level and prole likelihood arguments are used to construct a condence interval. Hill Plot: The function hillPlot investigates the shape parameter and plots the Hill estimate of the tail index of heavy-tailed data, or of an associated quantile estimate. This plot is usually calculated from the alpha perspective. For a generalized Pareto analysis of heavy-tailed data using the gpdFit function,

20 it helps to plot the Hill estimates for xi. Shape Parameter Plot:

GevModelling

The function shaparmPlot investigates the shape parameter and plots for the upper and lower tails the shape parameter as a function of the taildepth. Three approaches are considered, the Pickands estimator, the Hill estimator, and the Decker-Einmal-deHaan estimator. Value gevSim returns a vector of data points from the simulated series. gevFit returns an object of class gev describing the t. print.summary prints a report of the parameter t. summary performs diagnostic analysis. The method provides two different residual plots for assessing the tted GEV model. gevrlevelPlot returns a vector containing the lower 95% bound of the condence interval, the estimated return level and the upper 95% bound. hillPlot displays a plot. shaparmPlot returns a list with one or two entries, depending on the selection of the input variable both.tails. The two entries upper and lower determine the position of the tail. Each of the two variables is again a list with entries pickands, hill, and dehaan. If one of the three methods will be discarded the printout will display zeroes. Note GEV Parameter Estimation: If method "mle" is selected the parameter tting in gevFit is passed to the internal function gev.mle or gumbel.mle depending on the value of gumbel, FALSE or TRUE. On the other hand, if method "pwm" is selected the parameter tting in gevFit is passed to the internal function gev.pwm or gumbel.pwm again depending on the value of gumbel, FALSE or TRUE.

GevRisk Author(s) Alec Stephenson for Rs evd and evir package, and Diethelm Wuertz for this R-port. References Coles S. (2001); Introduction to Statistical Modelling of Extreme Values, Springer. Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer. Examples
## gevSim # Simulate GEV Data, use default length n=1 x = gevSim(model = list(xi = .25, mu = , beta = 1), n = 1 head(x) ## gumbelSim # Simulate GEV Data, use default length n=1 x = gumbelSim(model = list(xi = .25, mu =

21

, beta = 1))

## gevFit # Fit GEV Data by Probability Weighted Moments: fit = gevFit(x, type = "pwm") print(fit) ## summary # Summarize Results: par(mfcol = c(2, 2)) summary(fit)

GevRisk

Generalized Extreme Value Modelling

Description A collection and description functions to estimate the parameters of the GEV distribution. To model the GEV three types of approaches for parameter estimation are provided: Maximum likelihood estimation, probability weighted moment method, and estimation by the MDA approach. MDA includes functions for the Pickands, Einmal-Decker-deHaan, and Hill estimators together with several plot variants. The GEV modelling functions are: gevrlevelPlot Usage gevrlevelPlot(object, kBlocks = 2 , ci = c( .9 , .95, .99), k-block return level with condence intervals.

22 plottype = c("plot", "add"), labels = TRUE,...) Arguments add

GevRisk

[gevrlevelPlot] whether the return level should be added graphically to a time series plot; if FALSE a graph of the prole likelihood curve showing the return level and its condence interval is produced. [hillPlot] probability for asymptotic condence band; for no condence band set ci to zero. [gevrlevelPlot] species the particular return level to be estimated; default set arbitrarily to 20. [hillPlot] whether or not axes should be labelled. [summary][grlevelPlot] a tted object of class "gevFit". [hillPlot] whether alpha, xi (1/alpha) or quantile (a quantile estimate) should be plotted. arguments passed to the plot function.

ci

kBlocks labels object plottype

... Details

Parameter Estimation: gevFit and gumbelFit estimate the parameters either by the probability weighted moment method, method="pwm" or by maximum log likelihood estimation method="mle". The summary method produces diagnostic plots for tted GEV or Gumbel models. Methods: print.gev, plot.gev and summary.gev are print, plot, and summary methods for a tted object of class gev. Concerning the summary method, the data are converted to unit exponentially distributed residuals under null hypothesis that GEV ts. Two diagnostics for iid exponential data are offered. The plot method provides two different residual plots for assessing the tted GEV model. Two diagnostics for iid exponential data are offered. Return Level Plot: gevrlevelPlot calculates and plots the k-block return level and 95% condence interval based on a GEV model for block maxima, where k is specied by the user. The k-block return level is that level exceeded once every k blocks, on average. The GEV likelihood is reparameterized in terms of the unknown return level and prole likelihood arguments are used to construct a condence interval.

GevRisk Hill Plot:

23

The function hillPlot investigates the shape parameter and plots the Hill estimate of the tail index of heavy-tailed data, or of an associated quantile estimate. This plot is usually calculated from the alpha perspective. For a generalized Pareto analysis of heavy-tailed data using the gpdFit function, it helps to plot the Hill estimates for xi. Shape Parameter Plot: The function shaparmPlot investigates the shape parameter and plots for the upper and lower tails the shape parameter as a function of the taildepth. Three approaches are considered, the Pickands estimator, the Hill estimator, and the Decker-Einmal-deHaan estimator. Value gevSim returns a vector of data points from the simulated series. gevFit returns an object of class gev describing the t. print.summary prints a report of the parameter t. summary performs diagnostic analysis. The method provides two different residual plots for assessing the tted GEV model. gevrlevelPlot returns a vector containing the lower 95% bound of the condence interval, the estimated return level and the upper 95% bound. hillPlot displays a plot. shaparmPlot returns a list with one or two entries, depending on the selection of the input variable both.tails. The two entries upper and lower determine the position of the tail. Each of the two variables is again a list with entries pickands, hill, and dehaan. If one of the three methods will be discarded the printout will display zeroes. Note GEV Parameter Estimation: If method "mle" is selected the parameter tting in gevFit is passed to the internal function gev.mle or gumbel.mle depending on the value of gumbel, FALSE or TRUE. On the other hand, if

24

GpdDistribution method "pwm" is selected the parameter tting in gevFit is passed to the internal function gev.pwm or gumbel.pwm again depending on the value of gumbel, FALSE or TRUE.

Author(s) Alec Stephenson for Rs evd and evir package, and Diethelm Wuertz for this R-port. References Coles S. (2001); Introduction to Statistical Modelling of Extreme Values, Springer. Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer. Examples
## Load Data: # BMW Stock Data - negative returns x = -as.timeSeries(data(bmwRet)) colnames(x)<-"BMW" head(x) ## gevFit # Fit GEV to monthly Block Maxima: fit = gevFit(x, block = "month") print(fit) ## gevrlevelPlot # Return Level Plot: gevrlevelPlot(fit)

GpdDistribution

Generalized Pareto Distribution

Description A collection and description of functions to compute the generalized Pareto distribution. The functions compute density, distribution function, quantile function and generate random deviates for the GPD. In addition functions to compute the true moments and to display the distribution and random variates changing parameters interactively are available. The GPD distribution functions are: dgpd pgpd qgpd rgpd gpdMoments gpdSlider Density of the GPD Distribution, Probability function of the GPD Distribution, Quantile function of the GPD Distribution, random variates from the GEV distribution, computes true mean and variance, displays density or rvs from a GPD.

GpdDistribution Usage dgpd(x, pgpd(q, qgpd(p, rgpd(n, xi xi xi xi = = = = 1, 1, 1, 1, mu mu mu mu = = = = , , , , beta beta beta beta = = = = 1, log = FALSE) 1, lower.tail = TRUE) 1, lower.tail = TRUE) 1)

25

gpdMoments(xi = 1, mu = , beta = 1) gpdSlider(method = c("dist", "rvs")) Arguments log lower.tail method a logical, if TRUE, the log density is returned. a logical, if TRUE, the default, then probabilities are P[X <= x], otherwise, P[X > x]. [gpdSlider] a character string denoting what should be displayed. Either the density and "dist" or random variates "rvs". [rgpd][gpdSim\ the number of observations to be generated. a vector of probability levels, the desired probability for the quantile estimate (e.g. 0.99 for the 99th percentile). [pgpd] a numeric vector of quantiles. [dgpd] a numeric vector of quantiles. xi is the shape parameter, mu the location parameter, and beta is the scale parameter.

n p q x xi, mu, beta

Value All values are numeric vectors: d* returns the density, p* returns the probability, q* returns the quantiles, and r* generates random deviates. Author(s) Alec Stephenson for the functions from Rs evd package, Alec Stephenson for the functions from Rs evir package, Alexander McNeil for the EVIS functions underlying the evir package, Diethelm Wuertz for this R-port. References Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer.

26 Examples
## rgpd par(mfrow = c(2, 2), cex = .7) r = rgpd(n = 1 , xi = 1/4) plot(r, type = "l", col = "steelblue", main = "GPD Series") grid() ## dgpd # Plot empirical density and compare with true density: # Omit values greater than 5 from plot hist(r, n = 5 , probability = TRUE, xlab = "r", col = "steelblue", border = "white", xlim = c(-1, 5), ylim = c( , 1.1), main = "Density") box() x = seq(-5, 5, by = . 1) lines(x, dgpd(x, xi = 1/4), col = "orange") ## pgpd # Plot df and compare with true df: plot(sort(r), (1:length(r)/length(r)), xlim = c(-3, 6), ylim = c( , 1.1), pch = 19, cex = .5, ylab = "p", xlab = "q", main = "Probability") grid() q = seq(-5, 5, by = .1) lines(q, pgpd(q, xi = 1/4), col = "steelblue") ## qgpd # Compute quantiles, a test: qgpd(pgpd(seq(-1, 5, .25), xi = 1/4 ), xi = 1/4)

GpdModelling

GpdModelling

GPD Distributions for Extreme Value Theory

Description A collection and description to functions to compute the generalized Pareto distribution and to estimate its parameters. The functions compute density, distribution function, quantile function and generate random deviates for the GPD. Two approaches for parameter estimation are provided: Maximum likelihood estimation and the probability weighted moment method. The GPD modelling functions are: gpdSim gpdFit print plot summary generates data from the GPD, ts empirical or simulated data to the distribution, print method for a tted GPD object of class ..., plot method for a tted GPD object, summary method for a tted GPD object.

GpdModelling Usage gpdSim(model = list(xi = .25, mu = , beta = 1), n = 1 , seed = NULL) gpdFit(x, u = quantile(x, .95), type = c("mle", "pwm"), information = c("observed", "expected"), title = NULL, description = NULL, ...) ## S4 method for signature fGPDFIT show(object) ## S3 method for class fGPDFIT plot(x, which = "ask", ...) ## S3 method for class fGPDFIT summary(object, doplot = TRUE, which = "all", ...) Arguments description doplot information a character string which allows for a brief description. a logical. Should the results be plotted?

27

whether standard errors should be calculated with "observed" or "expected" information. This only applies to the maximum likelihood method; for the probability-weighted moments method "expected" information is used if possible. [gpdSim] a list with components shape, location and scale giving the parameters of the GPD distribution. By default the shape parameter has the value 0.25, the location is zero and the scale is one. [rgpd][gpdSim\ the number of observations to be generated. [summary] a tted object of class "gpdFit". [gpdSim] an integer value to set the seed for the random number generator. a character string which allows for a project title. a character string selecting the desired estimation mehtod, either "mle" for the maximum likelihood mehtod or "pwm" for the probability weighted moment method. By default, the rst will be selected. Note, the function gpd uses "ml". the threshold value. if which is set to "ask" the function will interactively ask which plot should be displayed. By default this value is set to FALSE and then those plots will be displayed for which the elements in the logical vector which ar set to TRUE; by default all four elements are set to "all". [dgpd] a numeric vector of quantiles. [gpdFit] the data vector. Note, there are two different names for the rst argument x and data depending which function name is used, either gpdFit or the EVIS

model

n object seed title type

u which

28 synonyme gpd. [print][plot] a tted object of class "gpdFit". xi, mu, beta ...

GpdModelling

xi is the shape parameter, mu the location parameter, and beta is the scale parameter. control parameters and plot parameters optionally passed to the optimization and/or plot function. Parameters for the optimization function are passed to components of the control argument of optim.

Details Generalized Pareto Distribution: Compute density, distribution function, quantile function and generates random variates for the Generalized Pareto Distribution. Simulation: gpdSim simulates data from a Generalized Pareto distribution. Parameter Estimation: gpdFit ts the model parameters either by the probability weighted moment method or the maxim log likelihood method. The function returns an object of class "gpd" representing the t of a generalized Pareto model to excesses over a high threshold. The tting functions use the probability weighted moment method, if method method="pwm" was selected, and the the general purpose optimization function optim when the maximum likelihood estimation, method="mle" or method="ml" is chosen. Methods: print.gpd, plot.gpd and summary.gpd are print, plot, and summary methods for a tted object of class gpdFit. The plot method provides four different plots for assessing tted GPD model. gpd* Functions: gpdqPlot calculates quantile estimates and condence intervals for high quantiles above the threshold in a GPD analysis, and adds a graphical representation to an existing plot. The GPD approximation in the tail is used to estimate quantile. The "wald" method uses the observed Fisher information matrix to calculate condence interval. The "likelihood" method reparametrizes the likelihood in terms of the unknown quantile and uses prole likelihood arguments to construct a condence interval. gpdquantPlot creates a plot showing how the estimate of a high quantile in the tail of a dataset based on the GPD approximation varies with threshold or number of extremes. For every model gpdFit is called. Evaluation may be slow. Condence intervals by the Wald method may be fastest.

GpdModelling

29

gpdriskmeasures makes a rapid calculation of point estimates of prescribed quantiles and expected shortfalls using the output of the function gpdFit. This function simply calculates point estimates and (at present) makes no attempt to calculate condence intervals for the risk measures. If condence levels are required use gpdqPlot and gpdsfallPlot which interact with graphs of the tail of a loss distribution and are much slower. gpdsfallPlot calculates expected shortfall estimates, in other words tail conditional expectation and condence intervals for high quantiles above the threshold in a GPD analysis. A graphical representation to an existing plot is added. Expected shortfall is the expected size of the loss, given that a particular quantile of the loss distribution is exceeded. The GPD approximation in the tail is used to estimate expected shortfall. The likelihood is reparametrised in terms of the unknown expected shortfall and prole likelihood arguments are used to construct a condence interval. gpdshapePlot creates a plot showing how the estimate of shape varies with threshold or number of extremes. For every model gpdFit is called. Evaluation may be slow. gpdtailPlot produces a plot of the tail of the underlying distribution of the data. Value gpdSim returns a vector of datapoints from the simulated series. gpdFit returns an object of class "gpd" describing the t including parameter estimates and standard errors. gpdQuantPlot returns invisible a table of results. gpdShapePlot returns invisible a table of results. gpdTailPlot returns invisible a list object containing details of the plot is returned invisibly. This object should be used as the rst argument of gpdqPlot or gpdsfallPlot to add quantile estimates or expected shortfall estimates to the plot. Author(s) Alec Stephenson for the functions from Rs evd package, Alec Stephenson for the functions from Rs evir package, Alexander McNeil for the EVIS functions underlying the evir package, Diethelm Wuertz for this R-port. References Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer. Hosking J.R.M., Wallis J.R., (1987); Parameter and quantile estimation for the generalized Pareto distribution, Technometrics 29, 339349.

30 Examples
## gpdSim x = gpdSim(model = list(xi = .25, mu = , beta = 1), n = 1 ## gpdFit par(mfrow = c(2, 2), cex = .7) fit = gpdFit(x, u = min(x), type = "pwm") print(fit) summary(fit) )

gpdRisk

gpdRisk

GPD Distributions for Extreme Value Theory

Description A collection and description to functions to compute tail risk under the GPD approach. The GPD modelling functions are: gpdQPlot gpdQuantPlot gpdRiskMeasures gpdSfallPlot gpdShapePlot gpdTailPlot tailPlot tailSlider tailRisk Usage gpdQPlot(x, p = .99, ci = .95, type = c("likelihood", "wald"), like.num = 5 ) gpdQuantPlot(x, p = .99, ci = .95, models = 3 , start = 15, end = 5 , doplot = TRUE, plottype = c("normal", "reverse"), labels = TRUE, ...) gpdSfallPlot(x, p = .99, ci = .95, like.num = 5 ) gpdShapePlot(x, ci = .95, models = 3 , start = 15, end = 5 , doplot = TRUE, plottype = c("normal", "reverse"), labels = TRUE, ...) gpdTailPlot(object, plottype = c("xy", "x", "y", ""), doplot = TRUE, extend = 1.5, labels = TRUE, ...) gpdRiskMeasures(object, prob = c( .99, .995, .999, .9995, .9999)) tailPlot(object, p = .99, ci = .95, nLLH = 25, extend = 1.5, grid = TRUE, labels = TRUE, ...) estimation of high quantiles, variation of high quantiles with threshold, prescribed quantiles and expected shortfalls, expected shortfall with condence intervals, variation of shape with threshold, plot of the tail, , , .

gpdRisk tailSlider(x) tailRisk(object, prob = c( .99, .995, .999, .9995, .9999), ...)

31

Arguments ci doplot extend the probability for asymptotic condence band; for no condence band set to zero. a logical. Should the results be plotted? optional argument for plots 1 and 2 expressing how far x-axis should extend as a multiple of the largest data value. This argument must take values greater than 1 and is useful for showing estimated quantiles beyond data. ... optional argument for plots 1 and 2 specifying whether or not axes should be labelled. the number of times to evaluate prole likelihood. the number of consecutive gpd models to be tted. ... [summary] a tted object of class "gpdFit". a vector of probability levels, the desired probability for the quantile estimate (e.g. 0.99 for the 99th percentile). should plot be by increasing threshold (TRUE) or number of extremes (FALSE). a numeric value. a character string. the lowest and maximum number of exceedances to be considered. a character string selecting the desired estimation mehtod, either "mle" for the maximum likelihood mehtod or "pwm" for the probability weighted moment method. By default, the rst will be selected. Note, the function gpd uses "ml". [dgpd] a numeric vector of quantiles. [gpdFit] the data vector. Note, there are two different names for the rst argument x and data depending which function name is used, either gpdFit or the EVIS synonyme gpd. [print][plot] a tted object of class "gpdFit". control parameters and plot parameters optionally passed to the optimization and/or plot function. Parameters for the optimization function are passed to components of the control argument of optim.

grid labels like.num models nLLH object p reverse prob plottype start, end type

...

32 Details Generalized Pareto Distribution:

gpdRisk

Compute density, distribution function, quantile function and generates random variates for the Generalized Pareto Distribution. Simulation: gpdSim simulates data from a Generalized Pareto distribution. Parameter Estimation: gpdFit ts the model parameters either by the probability weighted moment method or the maxim log likelihood method. The function returns an object of class "gpd" representing the t of a generalized Pareto model to excesses over a high threshold. The tting functions use the probability weighted moment method, if method method="pwm" was selected, and the the general purpose optimization function optim when the maximum likelihood estimation, method="mle" or method="ml" is chosen. Methods: print.gpd, plot.gpd and summary.gpd are print, plot, and summary methods for a tted object of class gpdFit. The plot method provides four different plots for assessing tted GPD model. gpd* Functions: gpdqPlot calculates quantile estimates and condence intervals for high quantiles above the threshold in a GPD analysis, and adds a graphical representation to an existing plot. The GPD approximation in the tail is used to estimate quantile. The "wald" method uses the observed Fisher information matrix to calculate condence interval. The "likelihood" method reparametrizes the likelihood in terms of the unknown quantile and uses prole likelihood arguments to construct a condence interval. gpdquantPlot creates a plot showing how the estimate of a high quantile in the tail of a dataset based on the GPD approximation varies with threshold or number of extremes. For every model gpdFit is called. Evaluation may be slow. Condence intervals by the Wald method may be fastest. gpdriskmeasures makes a rapid calculation of point estimates of prescribed quantiles and expected shortfalls using the output of the function gpdFit. This function simply calculates point estimates and (at present) makes no attempt to calculate condence intervals for the risk measures. If condence levels are required use gpdqPlot and gpdsfallPlot which interact with graphs of the tail of a loss distribution and are much slower. gpdsfallPlot calculates expected shortfall estimates, in other words tail conditional expectation and condence intervals for high quantiles above the threshold in a GPD analysis. A graphicalx representation to an existing plot is added. Expected shortfall is the expected size of the loss, given that a particular quantile of the loss distribution is exceeded. The GPD approximation in the tail

gpdRisk

33

is used to estimate expected shortfall. The likelihood is reparametrised in terms of the unknown expected shortfall and prole likelihood arguments are used to construct a condence interval. gpdshapePlot creates a plot showing how the estimate of shape varies with threshold or number of extremes. For every model gpdFit is called. Evaluation may be slow. gpdtailPlot produces a plot of the tail of the underlying distribution of the data. Value gpdSim returns a vector of datapoints from the simulated series. gpdFit returns an object of class "gpd" describing the t including parameter estimates and standard errors. gpdQuantPlot returns invisible a table of results. gpdShapePlot returns invisible a table of results. gpdTailPlot returns invisible a list object containing details of the plot is returned invisibly. This object should be used as the rst argument of gpdqPlot or gpdsfallPlot to add quantile estimates or expected shortfall estimates to the plot. Author(s) Alec Stephenson for the functions from Rs evd package, Alec Stephenson for the functions from Rs evir package, Alexander McNeil for the EVIS functions underlying the evir package, Diethelm Wuertz for this R-port. References Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer. Hosking J.R.M., Wallis J.R., (1987); Parameter and quantile estimation for the generalized Pareto distribution, Technometrics 29, 339349. Examples
## Load Data: danish = as.timeSeries(data(danishClaims)) ## Tail Plot: x = as.timeSeries(data(danishClaims)) fit = gpdFit(x, u = 1 ) tailPlot(fit) ## Try Tail Slider: # tailSlider(x)

34

ValueAtRisk

## Tail Risk: tailRisk(fit)

TimeSeriesData

Time Series Data Sets

Description Data sets used in the examples of the timeSeries packages.

ValueAtRisk

Value-at-Risk

Description A collection and description of functions to compute Value-at-Risk and conditional Value-at-Risk The functiona are: VaR CVaR Computes Value-at-Risk, Computes conditional Value-at-Risk.

Usage VaR(x, alpha = . 5, type = "sample", tail = c("lower", "upper")) CVaR(x, alpha = . 5, type = "sample", tail = c("lower", "upper")) Arguments x alpha type tail an uni- or multivariate timeSeries object a numeric value, the condence interval. a character string, the type to calculate the value-at-risk. a character string denoting which tail will be considered, either "lower" or "upper". If tail="lower", then alpha will be converted to alpha=1-alpha.

Value VaR CVaR returns a numeric vector or value with the (conditional) value-at-risk for each time series column.

ValueAtRisk Author(s) Diethelm Wuertz for this R-port. See Also hillPlot, gevFit.

35

Index
Topic distribution GpdDistribution, 24 GpdModelling, 26 gpdRisk, 30 Topic hplot ExtremeIndex, 4 ExtremesData, 7 Topic models GevDistribution, 11 GevMdaEstimation, 13 GevModelling, 17 GevRisk, 21 ValueAtRisk, 34 Topic programming DataPreprocessing, 2 as.POSIXct, 2, 3 blockMaxima (DataPreprocessing), 2 blockTheta (ExtremeIndex), 4 bmwRet (TimeSeriesData), 34 clusterTheta (ExtremeIndex), 4 CVaR (ValueAtRisk), 34 danishClaims (TimeSeriesData), 34 DataPreprocessing, 2 deCluster (DataPreprocessing), 2 dgev (GevDistribution), 11 dgpd (GpdDistribution), 24 emdPlot (ExtremesData), 7 exindexesPlot (ExtremeIndex), 4 exindexPlot (ExtremeIndex), 4 ExtremeIndex, 4 ExtremesData, 7 ferrosegersTheta (ExtremeIndex), 4 fGEVFIT (GevModelling), 17 fGEVFIT-class (GevModelling), 17 fGPDFIT (GpdModelling), 26 36 fGPDFIT-class (GpdModelling), 26 findThreshold (DataPreprocessing), 2 fTHETA (ExtremeIndex), 4 fTHETA-class (ExtremeIndex), 4 GevDistribution, 11 gevFit (GevModelling), 17 GevMdaEstimation, 13 GevModelling, 17 gevMoments (GevDistribution), 11 GevRisk, 21 gevrlevelPlot (GevRisk), 21 gevSim (GevModelling), 17 gevSlider (GevDistribution), 11 ghMeanExcessFit (ExtremesData), 7 ghtMeanExcessFit (ExtremesData), 7 GpdDistribution, 24 gpdFit (GpdModelling), 26 GpdModelling, 26 gpdMoments (GpdDistribution), 24 gpdQPlot (gpdRisk), 30 gpdQuantPlot (gpdRisk), 30 gpdRisk, 30 gpdRiskMeasures (gpdRisk), 30 gpdSfallPlot (gpdRisk), 30 gpdShapePlot (gpdRisk), 30 gpdSim (GpdModelling), 26 gpdSlider (GpdDistribution), 24 gpdTailPlot (gpdRisk), 30 gumbelFit (GevModelling), 17 gumbelSim (GevModelling), 17 hillPlot (GevMdaEstimation), 13 hypMeanExcessFit (ExtremesData), 7 lilPlot (ExtremesData), 7 mePlot (ExtremesData), 7 mrlPlot (ExtremesData), 7 msratioPlot (ExtremesData), 7

INDEX mxfPlot (ExtremesData), 7 nigMeanExcessFit (ExtremesData), 7 normMeanExcessFit (ExtremesData), 7 pgev (GevDistribution), 11 pgpd (GpdDistribution), 24 plot.fGEVFIT (GevModelling), 17 plot.fGPDFIT (GpdModelling), 26 pointProcess (DataPreprocessing), 2 qgev (GevDistribution), 11 qgpd (GpdDistribution), 24 qqparetoPlot (ExtremesData), 7 recordsPlot (ExtremesData), 7 rgev (GevDistribution), 11 rgpd (GpdDistribution), 24 runTheta (ExtremeIndex), 4 shaparmDEHaan (GevMdaEstimation), 13 shaparmHill (GevMdaEstimation), 13 shaparmPickands (GevMdaEstimation), 13 shaparmPlot (GevMdaEstimation), 13 show,fGEVFIT-method (GevModelling), 17 show,fGPDFIT-method (GpdModelling), 26 show,fTHETA-method (ExtremeIndex), 4 sllnPlot (ExtremesData), 7 ssrecordsPlot (ExtremesData), 7 summary.fGEVFIT (GevModelling), 17 summary.fGPDFIT (GpdModelling), 26 tailPlot (gpdRisk), 30 tailRisk (gpdRisk), 30 tailSlider (gpdRisk), 30 thetaSim (ExtremeIndex), 4 TimeSeriesData, 34 ValueAtRisk, 34 VaR (ValueAtRisk), 34 xacfPlot (ExtremesData), 7

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