extreme is a R package for estimating multivariate elliptical (1-p)-quantile regions. Currently, there are two available estimators. The first one is based on sample quantile and works well when the quantile region is on range of the data. The second one is based on a well known extreme quantile estimator for heavy-tailed distributions and works well for small values of p. For example, it can be that p is so small that the corresponding quantile is on the right-hand side of all the observations.
You can install the development version of extreme from Github with:
# install.packages("devtools")
devtools::install_github("perej1/extreme")Essentially, the package provides two functionalities.
-
Generate a sample from an elliptical distribution with function
relliptical. -
Calculate quantile region estimate with function
qreg. Functionqregreturns anellipsoidqobject representing the elliptical quantile estimate.
For an example, see repository perej1/elliptical-sim.