eva (Q29705)
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Extreme Value Analysis with Goodness-of-Fit Testing
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | eva |
Extreme Value Analysis with Goodness-of-Fit Testing |
Statements
expanded from: GPL (≥ 2) (English)
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21 June 2026
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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>.
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Identifiers
21 January 2021
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