Renext

Renewal Method for Extreme Values Extrapolation

Last update: 29 August 2023

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

Software version identifier: 3.1-3, 1.0-0, 2.0-0, 2.0-11, 2.1-0, 2.1-10, 3.0-0, 3.1-0, 3.1-4

Description

Peaks Over Threshold (POT) or 'methode du renouvellement'. The distribution for the excesses can be chosen, and heterogeneous data (including historical data or block data) can be used in a Maximum-Likelihood framework.

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