[R] Optimal choice of the threshold u in Peak Over Threshold (POT)Approach

[Pfaff, Bernhard Dr.]

Dear Fir,

for instance, have a look at the package 'ismev' and the function mrl.plot(). The CRAN task view 'Finance' lists many more packages that address EVT under the topic 'Risk management'.

Best,
Bernhard

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces at r-project.org 
> [mailto:r-help-bounces at r-project.org] Im Auftrag von FMH
> Gesendet: Donnerstag, 10. Februar 2011 19:28
> An: r-help at r-project.org
> Betreff: [R] Optimal choice of the threshold u in Peak Over 
> Threshold (POT)Approach
> 
> Dear All,
> 
> Could someone please suggest me the way to calculate the 
> optimal threshold in POT method via any available  packages in R?
> 
> Thanks,
> Fir
> 
> 
> 
> 
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