margEVT
Implements a non-stationary extreme value analysis framework by coupling a covariate-driven non-homogeneous Poisson process (NHPP) with (adaptive) elastic-net regularization, analytical gradients and a lower bound on the shape parameter. Provides methods for estimating conditional return levels and unconditional (marginalized) return levels via parametric stochastic integration over stable vector autoregressive VAR(p) covariate trajectories, or non-parametric annual-block resampling. Supports block-specific penalty controls, BIC selection along a regularization path, Karush-Kuhn-Tucker convergence checks, time-rescaling residual diagnostics, conditional parametric bootstrap inference, and walk-forward assessment.
This page was built for software: margEVT
