VaR {extrememix} | R Documentation |
Value-at-Risk
Description
Computation of the Value-at-Risk for an extreme value mixture model.
Usage
VaR(x, ...)
## S3 method for class 'evmm'
VaR(x, values = NULL, cred = 0.95, ...)
Arguments
x |
the output of a model estimated with |
... |
additional arguments for compatibility. |
values |
numeric vector of values of which to compute the value at risk. |
cred |
amplitude of the posterior credibility interval. |
Details
The Value-at-Risk for level q\
Value
A list with the following entries:
-
quantiles
: a matrix containing the estimated value at risk, the posterior credibility intervals and the empirical estimate. -
data
: the dataset used to estimate the value at risk. -
complete
: a matrix with the value at risk for each value in the posterior sample.
References
Lattanzi, Chiara, and Manuele Leonelli. "A changepoint approach for the identification of financial extreme regimes." Brazilian Journal of Probability and Statistics.
See Also
Examples
VaR(rainfall_ggpd)