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evd (version 2.3-3)

Functions for Extreme Value Distributions

Description

Extends simulation, distribution, quantile and density functions to univariate and multivariate parametric extreme value distributions, and provides fitting functions which calculate maximum likelihood estimates for univariate and bivariate maxima models, and for univariate and bivariate threshold models.

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Version

Install

install.packages('evd')

Monthly Downloads

32,204

Version

2.3-3

License

GPL-3

Maintainer

Alec Stephenson

Last Published

April 25th, 2018

Functions in evd (2.3-3)

Parametric Dependence Functions of Multivariate Extreme Value Models

Parametric Spectral Density Functions of Bivariate Extreme Value Models

GEV Transformations

Parametric Multivariate Extreme Value Distributions

Compare Nested EVD Objects

Peaks Over Threshold Modelling using the Generalized Pareto or Point Process Representation

The Frechet Distribution

Plot Diagnostics for a Univariate EVD Object

Maximum Annual Flood Discharges of the Ocmulgee River

Oldest Ages for Swedish Males and Females

Parametric Bivariate Extreme Value Distributions

Annual Maximum Sea Levels at Port Pirie

Estimates of the Extremal Index

Plot Estimates of the Extremal Index

Annual Sea Level Maxima at Dover and Harwich with Indicator

Parametric Dependence Functions of Bivariate Extreme Value Models

Non-parametric Estimates for Dependence Functions of the Bivariate Extreme Value Distribution

Threshold Choice Plot

Maximum-likelihood Fitting of Order Statistics

Annual Maximum Wind Speeds at Lisbon

Maximum Annual Flood Discharges of the Fox River

Calculate Confidence Intervals

Plot Diagnostics for a Bivariate EVD Object

Maximum Annual Flood Discharges of the North Saskachevan River

Plot Diagnostics for a Bivariate POT EVD Object

Annual Sea Level Maxima at Dover and Harwich

Maximum-likelihood Fitting of Maxima and Minima

Internal Functions

Maximum-likelihood Fitting of the Generalized Extreme Value Distribution

General Liability Claims

The Generalized Extreme Value Distribution

Identify Clusters of Exceedences

Distributions of Maxima and Minima

Simulate MARMA(p,q) Processes

Dependence Measure Plots

Empirical Mean Residual Life Plot

Distributions of Order Statistics

Annual Maximum Temperatures at Oxford

The Generalized Pareto Distribution

Method for Profiling EVD Objects

plot.profile.evd

Plot Profile Log-likelihoods and Calculate Profile Confidence Intervals

Non-parametric Estimates for Bivariate Quantile Curves

plot.profile2d.evd

Plot Joint Profile Log-likelihoods

Largest Sea Levels in Venice

Method for Profiling EVD Objects

Rainfall Maxima at Uccle, Belgium

The Reverse Weibull Distribution

Largest Sea Levels in Venice

Maximum-likelihood Fitting of Bivariate Extreme Value Distributions

Maximum-likelihood Fitting of Bivariate Extreme Value Distributions to Threshold Exceedances

The Gumbel Distribution

Perform Hypothesis Test Of Independence

Simulate Markov Chains With Extreme Value Dependence Structures

Calculate Conditional Copulas for Parametric Bivariate Extreme Value Distributions

Bivariate Threshold Choice Plot

Non-parametric Estimates for Dependence Functions of the Multivariate Extreme Value Distribution