gfiExtremes

Fiducial framework to perform inference on the quantiles for a generalized Pareto distribution model and on the parameters of the Pareto exceedance distribution, assuming the exceedance threshold is a known or unknown parameter.

Reference

Damian V. Wandler & Jan Hannig. Generalized fiducial confidence intervals for extremes. Extremes 15 (2012), pp 67–87.

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Install

install.packages('gfiExtremes')

Monthly Downloads

181

Version

1.0.1

License

GPL (>= 2)

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Repository

https://github.com/stla/gfiExtremes

Maintainer

Stc3<a9>phane Laurent

Last Published

January 25th, 2024

Functions in gfiExtremes (1.0.1)

joinMCMCchains

Join MCMC chains

gfigpd1

Fiducial inference for the generalized Pareto model with known threshold

gfigpd2

Fiducial inference for the generalized Pareto model with unknown threshold

GPareto

Generalized Pareto distribution

thresholdEstimate

Threshold estimate