Generalized L-Moments Estimation for Extreme Value Distributions
Description
Provides generalized L-moments estimation methods for the
generalized extreme value ('GEV') distribution. Implements both stationary
'GEV' and non-stationary 'GEV11' models where location and scale parameters
vary with time. Includes various penalty functions ('Martins'-'Stedinger',
Park, Cannon, 'Coles'-Dixon) for shape parameter regularization.
Also provides model averaging estimation ('ma.gev') that combines MLE and
L-moment methods with multiple weighting schemes for robust high quantile
estimation. The 'GLME' methodology is described in Shin et al. (2025a)
. The non-stationary L-moment method
is based on Shin et al. (2025b) .
The model averaging method is described in Shin et al. (2026)
.
See also 'Hosking' (1990) for
L-moments theory and 'Martins' and 'Stedinger' (2000)
for penalized likelihood methods.