ExtremeCI

MaRDI QIDQ7376108CRANFDO

Authors Olivier C. Pasche

Last update 12 May 2026

Copyright license GNU General Public License

Software version identifier 0.2.1

Description

This framework provides versatile algorithms to efficiently infer confidence intervals for extreme value statistics, such as extreme quantiles and return levels, that are representative of the asymmetric uncertainty spread, using extreme value theory extrapolation and the profile likelihood (see e.g., Coles (2001) <doi:10.1007/978-1-4471-3675-0>). Unlike existing algorithms, the CI endpoints are found without the need for a strict prespecified range, can be covariate-dependent, and can be based on weighted samples. This package is motivated by Zeder et al. (2023) <doi:10.1029/2023GL104090> and by Pasche et al. (2026) <doi:10.1007/s10687-026-00536-9>.

Cites work

• An Introduction to Statistical Modeling of Extreme Values
• Extreme conformal prediction: reliable intervals for high-impact events
• The Effect of a Short Observational Record on the Statistics of Temperature Extremes

Cited in

(1)

• ExtremeConformal

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