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ismev (version 1.3)

An Introduction to Statistical Modeling of Extreme Values

Description

Functions to support the computations carried out in `An Introduction to Statistical Modeling of Extreme Values' by Stuart Coles. The functions may be divided into the following groups; maxima/minima, order statistics, peaks over thresholds and point processes.

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Version

Install

install.packages('ismev')

Monthly Downloads

2,507

Version

1.3

License

GPL (>= 2)

Maintainer

Eric Gilleland

Last Published

May 11th, 2018

Functions in ismev (1.3)

mrl.plot

Mean Residual Life Plot
euroex

UK/Euro Exchange Rates
gpd.fit

Maximum-likelihood Fitting for the GPD Model
wooster

Minimum Temperatures at Wooster, Ohio
dowjones

Daily Closing Prices of The Dow Jones Index
glass

Breaking Strengths of Glass Fibres
pp.diag

Diagnostic Plots for Point Process Models
gev.prof

Profile Log-likelihoods for Stationary GEV Models
fremantle

Annual Maximum Sea Levels at Fremantle, Western Australia
gpd.fitrange

Fitting the GPD Model Over a Range of Thresholds
gpd.prof

Profile Log-likelihoods for Stationary GPD Models
pp.fitrange

Fitting the Point Process Model Over a Range of Thresholds
exchange

UK/US and UK/Canada Exchange Rates
rain

Daily Rainfall Accumulations in South-West England
ismev-internal

Internal Functions
pp.fit

Maximum-likelihood Fitting for the Point Process Model
portpirie

Annual Maximum Sea Levels at Port Pirie, South Australia
gum.diag

Diagnostic Plots for Gumbel Models
gev.fit

Maximum-likelihood Fitting of the GEV Distribution
venice

Venice Sea Levels
rlarg.fit

Maximum-likelihood Fitting of Order Statistics Model
rlarg.diag

Diagnostic Plots for Order Statistics Models
gpd.diag

Diagnostic Plots for GPD Models
gum.fit

Maximum-likelihood Fitting of the Gumbel Distribution
wavesurge

Wave and Surge Heights in South-West England
engine

Engine Failure Time Data
gev.diag

Diagnostic Plots for GEV Models
ismev

ismev -- The Extremes Toolkit: Weather and Climate Applications of Extreme-Value Statistics
wind

Annual Maximum Wind Speeds at Albany and Hartford
gamGPDfitboot

Smooth Parameter Estimation and Bootstrapping of Generalized Pareto Distributions with Penalized Maximum Likelihood Estimation