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.
Supplementary materials are available in addition to this article. It can be downloaded at RJ-2019-044.zip
Text and figures are licensed under Creative Commons Attribution CC BY 4.0. The figures that have been reused from other sources don't fall under this license and can be recognized by a note in their caption: "Figure from ...".
For attribution, please cite this work as
Castillo, et al., "The R Journal: Fitting Tails by the Empirical Residual Coefficient of Variation: The ercv Package", The R Journal, 2019
BibTeX citation
@article{RJ-2019-044,
author = {Castillo, Joan del and Serra, Isabel and Padilla, Maria and Moriña, David},
title = {The R Journal: Fitting Tails by the Empirical Residual Coefficient of Variation: The ercv Package},
journal = {The R Journal},
year = {2019},
note = {https://doi.org/10.32614/RJ-2019-044},
doi = {10.32614/RJ-2019-044},
volume = {11},
issue = {2},
issn = {2073-4859},
pages = {56-68}
}