extremefit: A Package for Extreme Quantiles

Abstract

extremefit is a package to estimate the extreme quantiles and probabilities of rare events. The idea of our approach is to adjust the tail of the distribution function over a threshold with a Pareto distribution. We propose a pointwise data driven procedure to choose the threshold. To illustrate the method, we use simulated data sets and three real-world data sets included in the package.

Keywords

• nonparametric estimation
• tail conditional probabilities
• extreme conditional quantile
• adaptive estimation
• application
• case study