Package: ExtremeRisks
Version: 0.0.6
Date: 2026-05-08
Title: Extreme Risk Measures
Authors@R: c(person("Simone","Padoan", role = c("cre", "aut"), email="simone.padoan@unibocconi.it"),
	    person("Gilles", "Stupfler", role = "aut", email="gilles.stupfler@univ-angers.fr"),
	    person("Carlotta", "Pacifici", role = c("aut"), email="carlotta.pacifici@unibocconi.it"))
Author: Simone Padoan [cre, aut], Gilles Stupfler [aut], Carlotta
        Pacifici [aut]
Maintainer: Simone Padoan <simone.padoan@unibocconi.it>
Imports: evd, copula, mvtnorm, plot3D, tmvtnorm, pracma
Depends: R (>= 3.5.0)
Description: A set of procedures for estimating risks related to
        extreme events via risk measures such as Expectile,
        Value-at-Risk, etc. is provided. Estimation methods for
        univariate independent observations and temporal dependent
        observations are available. The methodology is extended to the
        case of independent multidimensional observations.  The
        statistical inference is performed through parametric and
        non-parametric estimators. Inferential procedures such as
        confidence intervals, confidence regions and hypothesis testing
        are obtained by exploiting the asymptotic theory. Adapts the
        methodologies derived in Padoan and Stupfler (2022)
        <doi:10.3150/21-BEJ1375>, Davison et al. (2023)
        <doi:10.1080/07350015.2022.2078332>, Daouia et al. (2018)
        <doi:10.1111/rssb.12254>, Drees (2000)
        <doi:10.1214/aoap/1019487617>, Drees (2003)
        <doi:10.3150/bj/1066223272>, de Haan and Ferreira (2006)
        <doi:10.1007/0-387-34471-3>, de Haan et al. (2016)
        <doi:10.1007/s00780-015-0287-6>, Padoan and Rizzelli (2024)
        <doi:10.3150/23-BEJ1668>, Daouia et al. (2024)
        <doi:10.3150/23-BEJ1632>.
License: GPL (>= 2)
URL: https://www.unibocconi.it/en/faculty/simone-padoan
NeedsCompilation: yes
Repository/R-Forge/Project: extremerisks
Encoding: UTF-8
Packaged: 2026-10-09 09:01:00 UTC; root
Config/pak/sysreqs: libgsl0-dev
Repository: https://simonepadoan.r-universe.dev
Date/Publication: 2026-05-12 07:20:24 UTC
RemoteUrl: https://github.com/cran/ExtremeRisks
RemoteRef: HEAD
RemoteSha: 87632ff707defd89ad50be7321b6156990133b99