extRemes
swMATH23856CRANextRemesMaRDI QIDQ35622FDOQ35622
Extreme Value Analysis
Last update: 2 February 2024
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 2.1-3, 2.1-4
Source code repository: https://github.com/cran/extRemes
General functions for performing extreme value analysis. In particular, allows for inclusion of covariates into the parameters of the extreme-value distributions, as well as estimation through MLE, L-moments, generalized (penalized) MLE (GMLE), as well as Bayes. Inference methods include parametric normal approximation, profile-likelihood, Bayes, and bootstrapping. Some bivariate functionality and dependence checking (e.g., auto-tail dependence function plot, extremal index estimation) is also included. For a tutorial, see Gilleland and Katz (2016) <doi:10.18637/jss.v072.i08> and for bootstrapping, please see Gilleland (2020) <doi:10.1175/JTECH-D-20-0070.1>.
Cited In (14)
- Predicting federal funds rate using extreme value theory
- Effects of stochastic parametrization on extreme value statistics
- Robust interval forecasting algorithm based on a probabilistic cluster model
- How do mobility restrictions and social distancing during COVID-19 affect oil price?
- Determinants of high crude oil price: a nonstationary extreme value approach
- Spatial modelling of risk premiums for water damage insurance
- MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
- climextRemes
- in2extRemes
- extremeStat
- Comparison of trend detection methods in GEV models
- Title not available (Why is that?)
- Extreme quantiles and tail index of a distribution based on kernel estimator
- Is human life limited or unlimited? (A discussion of the paper by Holger Rootzén and Dmitrii Zholud)
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