lite

MaRDI QIDQ79203CRANFDO

Authors Paul J. Northrop

Last update 17 July 2024

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

Software version identifier 1.1.0, PACKAGES.rds, 1.0.0, 1.1.1

Description

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.

Cites work

• Estimating return levels from serially dependent extremes
• Inference for clustered data using the independence loglikelihood
• Model misspecification in peaks over threshold analysis

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