gev.profxi.mdfy

Internal function that computes the profile log-likelihood
for the GEV shape parameter with linear extrapolation beyond the
observed range. Used for constructing confidence intervals on xi.

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

gev.profxi.mdfy function

<dl><dt>data</dt>
<dd>Numeric vector of data.</dd>
<dt>mle</dt>
<dd>MLE parameter estimates (mu, sigma, xi) in Coles parameterization.</dd>
<dt>xlow</dt>
<dd>Lower bound for xi search.</dd>
<dt>xup</dt>
<dd>Upper bound for xi search.</dd>
<dt>pick.v</dt>
<dd>Numeric vector of confidence levels for CI computation.</dd>
<dt>nint</dt>
<dd>Number of grid points. Default is 256.</dd>
<dt>figure</dt>
<dd>Logical. Whether to plot the profile likelihood. Default is FALSE.</dd></dl>

Arguments

Modified profile likelihood for GEV shape parameter — gev.profxi.mdfy

<dl>

<dt>data</dt>
<dd>Numeric vector of data.</dd>


<dt>mle</dt>
<dd>MLE parameter estimates (mu, sigma, xi) in Coles parameterization.</dd>


<dt>xlow</dt>
<dd>Lower bound for xi search.</dd>


<dt>xup</dt>
<dd>Upper bound for xi search.</dd>


<dt>pick.v</dt>
<dd>Numeric vector of confidence levels for CI computation.</dd>


<dt>nint</dt>
<dd>Number of grid points. Default is 256.</dd>


<dt>figure</dt>
<dd>Logical. Whether to plot the profile likelihood. Default is FALSE.</dd>

</dl>

gev.profxi.mdfy: Modified profile likelihood for GEV shape parameter

Description

Usage

Value

Arguments