eva (version 0.2.6)

Extreme Value Analysis with Goodness-of-Fit Testing

Description

Goodness-of-fit tests for selection of r in the r-largest order statistics (GEVr) model. Goodness-of-fit tests for threshold selection in the Generalized Pareto distribution (GPD). Random number generation and density functions for the GEVr distribution. Profile likelihood for return level estimation using the GEVr and Generalized Pareto distributions. P-value adjustments for sequential, multiple testing error control. Non-stationary fitting of GEVr and GPD. Bader, B., Yan, J. & Zhang, X. (2016) . Bader, B., Yan, J. & Zhang, X. (2018) .

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install.packages('eva')

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378

Version

0.2.6

License

GPL (>= 2)

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Last Published

November 15th, 2020

Functions in eva (0.2.6)