ExtremeRisks - Extreme Risk Measures
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 (2020)
<arxiv:2004.04078>, Padoan and Stupfler (2020)
<arxiv:2007.08944>, 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>.
