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Software:57610
Miscellaneous Utilities for Extreme Value Analysis
Last update: 5 October 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 0.1.2, 0.1.0, 0.1.1, 0.1.3
Provides utility functions and objects for Extreme Value Analysis. These include probability functions with their exact derivatives w.r.t. the parameters that can be used for estimation and inference, even with censored observations. The transformations exchanging the two parameterizations of Peaks Over Threshold (POT) models: Poisson-GP and Point-Process are also provided with their derivatives.
