The R Journal: accepted article

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Fitting Tails by the Empirical Residual Coefficient of Variation: The ercv Package PDF download
Joan del Castillo, Isabel Serra, Maria Padilla and David Moriña

Abstract This article is a self-contained introduction to the R package ercv and to the methodology on which it is based through the analysis of nine examples. The methodology is simple and trustworthy for the analysis of extreme values and relates the two main existing methodologies. The package contains R functions for visualizing, fitting and validating the distribution of tails. It also provides multiple threshold tests for a generalized Pareto distribution, together with an automatic threshold selection algorithm.

Received: 2018-10-26; online 2019-12-27, supplementary material, (1.8 Kb)


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@article{RJ-2019-044,
  author = {Joan del Castillo and Isabel Serra and Maria Padilla and
          David Moriña},
  title = {{Fitting Tails by the Empirical Residual Coefficient of
          Variation: The ercv Package}},
  year = {2019},
  journal = {{The R Journal}},
  doi = {10.32614/RJ-2019-044},
  url = {https://journal.r-project.org/archive/2019/RJ-2019-044/index.html}
}