evmix-package: Extreme Value Mixture Modelling and Threshold Estimation
Description
Functions for univariate extreme value mixture modelling,
threshold estimation and uncertainty quantificationDetails
ll{ Package: evmix
Type: Package
Version: 0.1-0
Date: 2013-05-06
License: GPL-3
LazyLoad: yes
}
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
evd package is provided, so that users can safely
interchange most code.References
http://www.math.canterbury.ac.nz/~c.scarrott/evmix
Scarrott, C.J. and MacDonald, A. (2012). A review of
extreme value threshold estimation and uncertainty
quantification. REVSTAT - Statistical Journal 10(1),
33-59. Available from
http://www.ine.pt/revstat/pdf/rs120102.pdf
Hu, Y. (2013). Extreme value mixture modelling: An R
package and simulation study. MSc (Hons) thesis,
University of Canterbury, New Zealand.
http://ir.canterbury.ac.nz/simple-search?query=extreme&submit=Go
MacDonald, A. (2012). Extreme value mixture modelling
with medical and industrial applications. PhD thesis,
University of Canterbury, New Zealand.
http://ir.canterbury.ac.nz/bitstream/10092/6679/1/thesis_fulltext.pdf