gfiExtremes

MaRDI QIDQ132673CRANFDO

Authors Damian V. Wandler, Stéphane Laurent, Jan Hannig

Last update 25 January 2024

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

Software version identifier 1.0.0, 1.0.1

Description

Fiducial framework to perform inference on the quantiles for a generalized Pareto distribution model and on the parameters of the Pareto exceedance distribution, assuming the exceedance threshold is a known or unknown parameter. Reference: Damian V. Wandler & Jan Hannig (2012) <doi:10.1007/s10687-011-0127-9>.

Cites work

• Generalized fiducial confidence intervals for extremes

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