eva

MaRDI QIDQ29705swMATHCRANFDO

Authors Brian Bader

Last update 21 June 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.2.6, PACKAGES.rds, 0.1.1, 0.1.2, 0.1.3, 0.2.1, 0.2.2, 0.2.3, 0.2.4, 0.2.5, 0.2.7

Official website https://cran.r-project.org/web/packages/eva/index.html

Source code repository https://github.com/cran/eva

Description

Goodness-of-fit tests for selection of r in the r-largest order statistics (GEVr) model. Goodness-of-fit tests for threshold selection in the Generalized Pareto distribution (GPD). Random number generation and density functions for the GEVr distribution. Profile likelihood for return level estimation using the GEVr and Generalized Pareto distributions. P-value adjustments for sequential, multiple testing error control. Non-stationary fitting of GEVr and GPD. Bader, B., Yan, J. & Zhang, X. (2016) <doi:10.1007/s11222-016-9697-3>. Bader, B., Yan, J. & Zhang, X. (2018) <doi:10.1214/17-AOAS1092>.

Cites work

• Automated selection of r for the r largest order statistics approach with adjustment for sequential testing
• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate

Cited in

(5)

• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
• texmex
• fExtremes
• gendist
• evmr

This page was built for software: eva