The extreme (upper or lower) parts of a sample, such as
We give an outline of the most important statistical models (extreme value (EV) and generalized Pareto (GP)) of tools for assessing the adequacy of the parametric models (mean excess functions) and of relevant statistical estimation procedures.
The parametric distributions are fitted to observed maxima, minima, intermediate data or peaks over thresholds and extrapolated to regions of interest, where only a few or no observations are available. Such an extrapolation is not possible when a nonparametric approach is utilized. It is evident that the choice of the parametric model is a crucial issue.
The statistical models and procedures are implemented as a part of the finance library, so one needs to load that library first by using the command
library ("finance")