threshr

Threshold Selection and Uncertainty for Extreme Value Analysis

Last update: 2 December 2023

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

Software version identifier: 1.0.3, 1.0.0, 1.0.1, 1.0.2, 1.0.4, 1.0.5

Description

Provides functions for the selection of thresholds for use in extreme value models, based mainly on the methodology in Northrop, Attalides and Jonathan (2017) <doi:10.1111/rssc.12159>. It also performs predictive inferences about future extreme values, based either on a single threshold or on a weighted average of inferences from multiple thresholds, using the 'revdbayes' package <https://cran.r-project.org/package=revdbayes>. At the moment only the case where the data can be treated as independent identically distributed observations is considered.

Cites work

Cross-Validatory Extreme Value Threshold Selection and Uncertainty with Application to Ocean Storm Severity

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