extRemes

MaRDI QIDQ35622swMATHCRANFDO

Authors Eric Gilleland

Last update 2 February 2024

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

Software version identifier 2.1-3, 2.1-4

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

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

Description

General functions for performing extreme value analysis. In particular, allows for inclusion of covariates into the parameters of the extreme-value distributions, as well as estimation through MLE, L-moments, generalized (penalized) MLE (GMLE), as well as Bayes. Inference methods include parametric normal approximation, profile-likelihood, Bayes, and bootstrapping. Some bivariate functionality and dependence checking (e.g., auto-tail dependence function plot, extremal index estimation) is also included. For a tutorial, see Gilleland and Katz (2016) <doi:10.18637/jss.v072.i08> and for bootstrapping, please see Gilleland (2020) <doi:10.1175/JTECH-D-20-0070.1>.

Cites work

• Bootstrap Methods for Statistical Inference. Part II: Extreme-Value Analysis
• extRemes2.0: An Extreme Value Analysis Package inR

Cited in

(55)

• Predicting federal funds rate using extreme value theory
• Effects of stochastic parametrization on extreme value statistics
• Robust interval forecasting algorithm based on a probabilistic cluster model
• How do mobility restrictions and social distancing during COVID-19 affect oil price?
• Determinants of high crude oil price: a nonstationary extreme value approach
• Spatial modelling of risk premiums for water damage insurance
• tea
• ARfit
• LMOMENTS
• lmom
• POT
• evir
• ismev
• RTDE
• evd
• SpatialExtremes
• texmex
• evdbayes
• fExtremes
• qrmtools
• futureheatwaves
• hkevp
• MCMC4Extremes
• extremogram
• eva
• VaRES
• evgam
• evmix
• ExtremalDep
• fCopulae
• mAr
• ReIns
• Mamba
• goft
• SwissAir
• gendist
• extremefit
• bench
• extremeStat
• mvPot
• MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
• extremeStat
• extremis
• lax
• RWsearch
• ptsuite
• ExtremeRisks
• RobExtremes
• egpd4gamlss
• ABCExtremes
• eventstudies
• Comparison of trend detection methods in GEV models
• Extreme quantiles and tail index of a distribution based on kernel estimator
• scientific article; zbMATH DE number 7508950 (Why is no real title available?)
• Is human life limited or unlimited? (A discussion of the paper by Holger Rootzén and Dmitrii Zholud)

This page was built for software: extRemes