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RobExtremes (version 1.3.0)

Optimally Robust Estimation for Extreme Value Distributions

Description

Optimally robust estimation for extreme value distributions using S4 classes and methods (based on packages 'distr', 'distrEx', 'distrMod', 'RobAStBase', and 'ROptEst'); the underlying theoretic results can be found in Ruckdeschel and Horbenko, (2013 and 2012), \doi{10.1080/02331888.2011.628022} and \doi{10.1007/s00184-011-0366-4}.

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Version

Install

install.packages('RobExtremes')

Monthly Downloads

260

Version

1.3.0

License

LGPL-3

Maintainer

Peter Ruckdeschel

Last Published

February 9th, 2024

Functions in RobExtremes (1.3.0)

GParetoParameter-class

Parameter of generalized Pareto distributions

LDEstimate-class

LDEstimate-class.

Gumbel distribution

Generating function for Pareto-class

Function to compute LD (location-dispersion) estimates

GumbelParameter-class

Paramter of Gumbel distributions

Pareto distribution

GumbelLocationFamily

Generating function for Gumbel location families

Generating function for Gumbel-class

Generating function for Generalized Pareto families

Function to compute asymptotic variance of QuantileBCC estimator

checkmakeIC-methods

Methods for Functions checkIC and makeIC in Package `RobExtremes'

PickandsEstimator

Function to compute Pickands estimates for the GPD and GEVD

ParetoParameter-class

Paramter of Pareto distributions

Generating function for Weibull family

Generic Functions for the Computation of Functionals

RobExtremesConstants

Built-in Constants in package RobExtremes

Function to compute asymptotic variance of MedkMAD estimator

Function to compute asymptotic variance of Pickands estimator

QuantileBCCEstimator

Function to compute QuantileBCC estimates for the Weibull Family

InternalProbFamilyReturnClasses-class

Internal return classes for generating functions

getStartIC-methods

Methods for Function getStartIC in Package `RobExtremes'

Risk Measures for Scale-Shape Families

InternalEstimatorReturnClasses

Internal Estimator Return Classes in 'RobExtremes'

.checkEstClassForParamFamily-methods

Methods for Function .checkEstClassForParamFamily in Package `RobExtremes'

Function to compute LD (location-dispersion) estimates

ismevgpdgevdiag-methods

Methods for Diagnostic Functions in Package `RobExtremes'

internal_ldehelpers_for_distrMod

Internal helper functions for treating LDEstimators in package distrMod

internal_interpolate_helpers_for_RobExtremes

Internal helper functions for generating interpolation grids for speed up in package RobExtremes

rescaleFunction-methods

Methods for Function rescaleFunction in Package `RobExtremes'

Asymmetric Median of Absolute Deviations for Skewed Distributions

movToRef-methods

Methods for Functions moving from and to reference parameter in Package `RobExtremes'

InternalProbFamilyClasses-class

Internal Classes for Method Dispatch in 'ProbFamliy' Classes

validParameter-methods

Methods for function validParameter in Package `RobExtremes'

Generalized Pareto distribution

GEVFamilyMuUnknown

Generating function for families of Generalized Extreme Value distributions

Generating function for GEV-class

Generating function for GPareto-class

Generating function for Generalized Pareto families

RobExtremes-package

RobExtremes -- Optimally Robust Estimation for Extreme Value Distributions

Generalized EV distribution

Generating function for families of Generalized Extreme Value distributions

Generic Function for the Computation of (Conditional) Expectations

GEVParameter-class

Parameter of generalized Pareto distributions