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evmix (version 1.0)

Extreme Value Mixture Modelling and Threshold Estimation

Description

The usual distribution functions, maximum likelihood inference and model diagnostics for univariate stationary extreme value mixture models are provided. Kernel density estimation including various boundary corrected kernel density estimation methods, with cross-validation likelihood based bandwidth estimators are included. Reasonable consistency with the base functions in the \code{evd} package is provided, so that users can safely interchange most code.

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Version

Install

install.packages('evmix')

Monthly Downloads

1,486

Version

1.0

License

GPL-3

Maintainer

Carl Scarrott

Last Published

July 6th, 2013

Functions in evmix (1.0)

Beta Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Weibull Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint

Cross-validation MLE Fitting of Boundary Corrected Kernel Density Estimation

Dynamically Weighted Mixture Model

Log-likelihood of Hybrid Pareto Extreme Value Mixture Model with Single Continuity Constraint

MLE Fitting of Gamma Bulk and GPD Tail Extreme Value Mixture Model

Extreme Value Mixture Modelling and Threshold Estimation

Cross-validation Log-likelihood of Kernel Density Estimation for Bulk and GPD for Both Upper and Lower Tails in Extreme Value Mixture Model

MLE Fitting of Normal Bulk with GPD Upper and Lower Tails Extreme Value Mixture Model with Continuity Constraints

Generalised Pareto Distribution (GPD)

Cross-validation MLE Fitting of Kernel Density Estimator Using normal Kernel

Normal Bulk and GPD Tail Extreme Value Mixture Model

Kernel Density Estimation Using Normal Kernel

Cross-validation Log-likelihood of Boundary Corrected Kernel Density Estimators for the Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Dynamically Weighted Mixture Model

Cross-validation MLE Fitting of Kernel Density Estimator Using Normal Kernel and GPD Tail Extreme Value Mixture Model

Gamma Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Log-Normal Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint

Diagnostic Plots for Extreme Value Mixture Models

MLE Fitting of Hybrid Pareto Extreme Value Mixture Model

Log-Normal Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint

Log-likelihood of Weibull Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint

Normal Bulk with GPD Upper and Lower Tails Extreme Value Mixture Model with Continuity Constraints

MLE Fitting of Weibull Bulk and GPD Tail Extreme Value Mixture Model

Gamma Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint

Kernel Density Estimation for Bulk and GPD for Both Upper and Lower Tails in Extreme Value Mixture Model

MLE Fitting of Gamma Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint

Cross-validation MLE Fitting of Kernel Density Estimator Using Normal Kernel and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

Hybrid Pareto Extreme Value Mixture Model

Boundary Corrected Kernel Density Estimators for Bulk and GPD Tail Extreme Value Mixture Model

Log-likelihood of Log-Normal Bulk and GPD Tail Extreme Value Mixture Model

Cross-validation Log-likelihood of Kernel Density Estimator Using normal Kernel

MLE Fitting of Normal Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint

MLE Fitting of Beta Bulk and GPD Tail Extreme Value Mixture Model

Log-likelihood of gamma Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint

Internal Functions

Log-likelihood of beta Bulk and GPD Tail Extreme Value Mixture Model

Parameter Threshold Stability Plots

Log-likelihood of Normal Bulk with GPD Upper and Lower Tails Extreme Value Mixture Model

Cross-validation MLE Fitting of Boundary Corrected Kernel Density Estimation and GPD Tail Extreme Value Mixture Model

Boundary Corrected Kernel Density Estimation

Mean Residual Life Plot

Cross-validation Log-likelihood of Boundary Corrected Kernel Density Estimation

Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture Model

Normal Bulk with GPD Upper and Lower Tails Extreme Value Mixture Model

MLE Fitting of Normal Bulk and GPD Tail Extreme Value Mixture Model

Cross-validation Log-likelihood of Kernel Density Estimator Using Normal Kernel and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

Log-likelihood of Weibull Bulk and GPD Tail Extreme Value Mixture Model

Log-likelihood of dynamically weighted mixture model

MLE Fitting of Log-Normal Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Normal Bulk with GPD Upper and Lower Tails Extreme Value Mixture Model

Weibull Bulk and GPD Tail Extreme Value Mixture Model

Kernel Density Estimation Using Normal Kernel and GPD Tail Extreme Value Mixture Model

Kernel Density Estimation Using Normal Kernel and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

Cross-validation MLE Fitting of Kernel Density Estimation for Bulk and GPD for Both Upper and Lower Tails in Extreme Value Mixture Model

Log-likelihood of Normal Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Hybrid Pareto Extreme Value Mixture Model with Single Continuity Constraint

Log-likelihood of Hybrid Pareto Extreme Value Mixture Model

Cross-validation Log-likelihood of Kernel Density Estimator Using Normal Kernel and GPD Tail Extreme Value Mixture Model

Normal Bulk and GPD Tail Extreme Value Mixture Model with a Continuity Constraint

Log-likelihood of Normal Bulk with GPD Upper and Lower Tails Extreme Value Mixture Model with Continuity Constraints

Hybrid Pareto Extreme Value Mixture Model with Single Continuity Constraint

Log-likelihood of Normal Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint

Log-likelihood of gamma Bulk and GPD Tail Extreme Value Mixture Model

Weibull Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint

Log-likelihood of Generalised Pareto Distribution (GPD)

Log-Normal Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Generalised Pareto Distribution (GPD)

Log-likelihood of Log-Normal Bulk and GPD Tail Extreme Value Mixture Model with Continuity Constraint