delta.gev

Internal function that computes delta method variances
for GEV quantile estimates. Can compute either the variance from
a full 3-parameter MLE (d3yes=TRUE) or the cross-covariance between
two submodels with fixed xi (d3yes=FALSE).

internal

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)
<doi:10.48550/arXiv.2512.20385>. The non-stationary L-moment method
is based on Shin et al. (2025b) <doi:10.1007/s42952-025-00325-3>.
The model averaging method is described in Shin et al. (2026)
<doi:10.1007/s00477-025-03167-x>.
See also 'Hosking' (1990) <doi:10.1111/j.2517-6161.1990.tb01775.x> for
L-moments theory and 'Martins' and 'Stedinger' (2000)
<doi:10.1029/1999WR900330> for penalized likelihood methods.

Yonggwan Shin

GLmom

Generalized L-Moments Estimation for Extreme Value Distributions

Seokkap Ko

Jihong Park

Yire Shin

Jeong-Soo Park

delta.gev function

<dl><dt>gevf3</dt>
<dd>Full MLE result list with <code>cov</code> and <code>mle</code> (used when d3yes=TRUE).</dd>
<dt>mle3i</dt>
<dd>Parameter vector for submodel i (used when d3yes=FALSE).</dd>
<dt>cov2i</dt>
<dd>2x2 covariance matrix for submodel i.</dd>
<dt>mle3j</dt>
<dd>Parameter vector for submodel j.</dd>
<dt>cov2j</dt>
<dd>2x2 covariance matrix for submodel j.</dd>
<dt>quant</dt>
<dd>Numeric vector of quantile probabilities.</dd>
<dt>d3yes</dt>
<dd>Logical. If TRUE, compute 3-parameter delta method variance.</dd></dl>

Arguments

Delta method variance and cross-covariance for GEV quantiles — delta.gev

<dl>

<dt>gevf3</dt>
<dd>Full MLE result list with <code>cov</code> and <code>mle</code> (used when d3yes=TRUE).</dd>


<dt>mle3i</dt>
<dd>Parameter vector for submodel i (used when d3yes=FALSE).</dd>


<dt>cov2i</dt>
<dd>2x2 covariance matrix for submodel i.</dd>


<dt>mle3j</dt>
<dd>Parameter vector for submodel j.</dd>


<dt>cov2j</dt>
<dd>2x2 covariance matrix for submodel j.</dd>


<dt>quant</dt>
<dd>Numeric vector of quantile probabilities.</dd>


<dt>d3yes</dt>
<dd>Logical. If TRUE, compute 3-parameter delta method variance.</dd>

</dl>

delta.gev: Delta method variance and cross-covariance for GEV quantiles

Description

Usage

Value

Arguments