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 > -----Ursprüngliche Nachricht----- > Von: r-help-boun...@r-project.org > [mailto:r-help-boun...@r-project.org] Im Auftrag von FMH > Gesendet: Donnerstag, 10. Februar 2011 19:28 > An: r-help@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 > > > > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
