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evd (version 2.3-6)

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

2.3-6

License

GPL-3

Maintainer

Alec Stephenson

Last Published

April 12th, 2022

Functions in evd (2.3-6)

Calculate Conditional Copulas for Parametric Bivariate Extreme Value Distributions

Bivariate Threshold Choice Plot

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

Parametric Dependence Functions of Bivariate Extreme Value Models

Parametric Dependence Functions of Multivariate Extreme Value Models

Identify Clusters of Exceedences

Parametric Bivariate Extreme Value Distributions

Compare Nested EVD Objects

Dependence Measure Plots

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

Maximum-likelihood Fitting of Bivariate Extreme Value Distributions

Perform Hypothesis Test Of Independence

Simulate Markov Chains With Extreme Value Dependence Structures

Distributions of Maxima and Minima

Plot Estimates of the Extremal Index

Estimates of the Extremal Index

Calculate Confidence Intervals

Internal Functions

Maximum-likelihood Fitting of Order Statistics

Maximum-likelihood Fitting of the Maximum of Two Gumbel Distributions

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

Maximum Annual Flood Discharges of the Fox River

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

Maximum Annual Flood Discharges of the Ocmulgee River

Maximum-likelihood Fitting of Maxima and Minima

Oldest Ages for Swedish Males and Females

Maximum-likelihood Fitting of the Generalized Extreme Value Distribution

Empirical Mean Residual Life Plot

GEV Transformations

Simulate MARMA(p,q) Processes

The Generalized Pareto Distribution

The Gumbel Distribution

Parametric Multivariate Extreme Value Distributions

The Frechet Distribution

The Generalized Extreme Value Distribution

Rainfall Maxima at Uccle, Belgium

Largest Sea Levels in Venice

Annual Sea Level Maxima at Dover and Harwich

Annual Maximum Sea Levels at Port Pirie

Maximum Annual Flood Discharges of the North Saskachevan River

Plot Diagnostics for a Univariate EVD Object

General Liability Claims

Annual Maximum Wind Speeds at Lisbon

Annual Maximum Temperatures at Oxford

Distributions of Order Statistics

Maxima of Two Gumbel Distributions

plot.profile2d.evd

Plot Joint Profile Log-likelihoods

Parametric Spectral Density Functions of Bivariate Extreme Value Models

plot.profile.evd

Plot Profile Log-likelihoods

Largest Sea Levels in Venice

Method for Profiling EVD Objects

Method for Profiling EVD Objects

Plot Diagnostics for a Bivariate EVD Object

Non-parametric Estimates for Bivariate Quantile Curves

The Reverse Weibull Distribution

Plot Diagnostics for a Bivariate POT EVD Object

Annual Sea Level Maxima at Dover and Harwich with Indicator

Threshold Choice Plot