lite (Q79203)
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Likelihood-Based Inference for Time Series Extremes
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | lite |
Likelihood-Based Inference for Time Series Extremes |
Statements
expanded from: GPL (≥ 2) (English)
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17 July 2024
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Performs likelihood-based inference for stationary time series extremes. The general approach follows Fawcett and Walshaw (2012) <doi:10.1002/env.2133>. Marginal extreme value inferences are adjusted for cluster dependence in the data using the methodology in Chandler and Bate (2007) <doi:10.1093/biomet/asm015>, producing an adjusted log-likelihood for the model parameters. A log-likelihood for the extremal index is produced using the K-gaps model of Suveges and Davison (2010) <doi:10.1214/09-AOAS292>. These log-likelihoods are combined to make inferences about extreme values. Both maximum likelihood and Bayesian approaches are available.
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