remle.gev

Computes restricted maximum likelihood estimates for GEV parameters
with constraints on the mean or median matching the sample statistics.

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

remle.gev function

<dl><dt>xdat</dt>
<dd>Numeric vector of data.</dd>
<dt>ntry</dt>
<dd>Number of random starting points. Default is 5.</dd>
<dt>rest</dt>
<dd>Restriction type: 'mean' (default) or 'median'.</dd>
<dt>quant</dt>
<dd>Probabilities for quantile estimation. Default is c(0.99, 0.995).</dd>
<dt>trim</dt>
<dd>Left trimming level. Default is 0.</dd>
<dt>CD.mle</dt>
<dd>Coles-Dixon MLE (optional). If NULL, computed internally.</dd>
<dt>mle</dt>
<dd>Standard MLE (optional). If NULL, computed internally.</dd>
<dt>second</dt>
<dd>Logical. If TRUE, compute second-stage REMLE. Default is TRUE.</dd>
<dt>w.mpse</dt>
<dd>Logical. If TRUE, compute MPSE. Default is FALSE.</dd></dl>

Arguments

Restricted MLE for GEV (Mixed Estimation) — remle.gev

<dl>

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


<dt>ntry</dt>
<dd>Number of random starting points. Default is 5.</dd>


<dt>rest</dt>
<dd>Restriction type: 'mean' (default) or 'median'.</dd>


<dt>quant</dt>
<dd>Probabilities for quantile estimation. Default is c(0.99, 0.995).</dd>


<dt>trim</dt>
<dd>Left trimming level. Default is 0.</dd>


<dt>CD.mle</dt>
<dd>Coles-Dixon MLE (optional). If NULL, computed internally.</dd>


<dt>mle</dt>
<dd>Standard MLE (optional). If NULL, computed internally.</dd>


<dt>second</dt>
<dd>Logical. If TRUE, compute second-stage REMLE. Default is TRUE.</dd>


<dt>w.mpse</dt>
<dd>Logical. If TRUE, compute MPSE. Default is FALSE.</dd>

</dl>

remle.gev: Restricted MLE for GEV (Mixed Estimation)

Description

Usage

Value

Arguments