time.m.gev11

Internal function that implements the GN16 time-varying
moment method for non-stationary GEV11 estimation. Computes time-varying
location from the shape parameter and scale function.

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

time.m.gev11 function

<dl><dt>qmax</dt>
<dd>Modified residual series from <code>make.qmax.gev11()</code>.</dd>
<dt>orig.para</dt>
<dd>Initial parameter vector (mu0, mu1, sigma0, sigma1, xi).</dd>
<dt>rob</dt>
<dd>Logical. If TRUE, use robust regression. Default is FALSE.</dd>
<dt>mdfy</dt>
<dd>Logical. If TRUE, apply modified GN16 with updated alpha0. Default is TRUE.</dd></dl>

Arguments

Time-varying moment estimation (GN16 method) — time.m.gev11

<dl>

<dt>qmax</dt>
<dd>Modified residual series from <code>make.qmax.gev11()</code>.</dd>


<dt>orig.para</dt>
<dd>Initial parameter vector (mu0, mu1, sigma0, sigma1, xi).</dd>


<dt>rob</dt>
<dd>Logical. If TRUE, use robust regression. Default is FALSE.</dd>


<dt>mdfy</dt>
<dd>Logical. If TRUE, apply modified GN16 with updated alpha0. Default is TRUE.</dd>

</dl>

time.m.gev11: Time-varying moment estimation (GN16 method)

Description

Usage

Value

Arguments