threshr

Provides functions for the selection of thresholds for use in extreme value models, based mainly on the methodology in Northrop, Attalides and Jonathan (2017) doi:10.1111/rssc.12159. It also performs predictive inferences about future extreme values, based either on a single threshold or on a weighted average of inferences from multiple thresholds, using the 'revdbayes' package . At the moment only the case where the data can be treated as independent identically distributed observations is considered.