This folder contains R code of estimating extremal distribution based on quantile factor model and extreme value theory. The code and result were submitted to the data challenged held by 11th international conference on Extreme Value Analysis.
Authors: Joonpyo Kim, Seoncheol Park, Junhyeon Kwon, Yaeji Lim, and Hee-Seok Oh.
If you have any question, please contact to: joonpyokim@snu.ac.kr