Changes in version 0.0-15
New Features
Hill_estimator() Hill estimator.Hill_plot() Hill plot.
Changes in version 0.0-14
New Features
rBrownian() for simulating Brownian and related motions.
Changes in version 0.0-13
New Features
X.rearranged.opt.row of rearrange() and its wrappers.
Changes in version 0.0-11
New Features
VaR_np() and ES_np() compute value-at-risk and expected shortfall for the sum if the input is a matrix.
Changes in version 0.0-10
New Features
dGPDtail(), pGPDtail(), qGPDtail(),rGPDtail() (and renamed VaR_POT() toVaR_GPDtail() and ES_POT() to ES_GPDtail()correspondingly)
Bug Fixes
plot_matrix(): used to plot transposed matrix.
Changes in version 0.0-9
New Features
VaR_POT(), ES_POT()GPD_shape_plot(), tail_plot()mean_excess_np(), mean_excess_GPD() andmean_excess_plot()edf_plot()- Fitting of GEV distribution and GPD.
- More intuitive (re)naming of all arguments of EVT related functions.
Bug Fixes