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ismev (version 1.42)

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

6,044

Version

1.42

License

GPL (>= 2)

Maintainer

Last Published

May 10th, 2018

Functions in ismev (1.42)

Fitting the Point Process Model Over a Range of Thresholds

Daily Rainfall Accumulations in South-West England

Maximum-likelihood Fitting of Order Statistics Model

Profile Log-likelihoods for Stationary GPD Models

Wave and Surge Heights in South-West England

Diagnostic Plots for GPD Models

Annual Maximum Wind Speeds at Albany and Hartford

Minimum Temperatures at Wooster, Ohio

Maximum-likelihood Fitting for the GPD Model

Venice Sea Levels

Diagnostic Plots for Order Statistics Models

Maximum-likelihood Fitting for the Point Process Model

Diagnostic Plots for Point Process Models

Annual Maximum Sea Levels at Fremantle, Western Australia

Fitting the GPD Model Over a Range of Thresholds

UK/US and UK/Canada Exchange Rates

UK/Euro Exchange Rates

Internal Functions

Daily Closing Prices of The Dow Jones Index

Engine Failure Time Data

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

ismev -- an Introduction to Statistical Modeling of Extreme Values

Breaking Strengths of Glass Fibres

Diagnostic Plots for Gumbel Models

Profile Log-likelihoods for Stationary GEV Models

Maximum-likelihood Fitting of the Gumbel Distribution

Diagnostic Plots for GEV Models

Maximum-likelihood Fitting of the GEV Distribution

Mean Residual Life Plot

Annual Maximum Sea Levels at Port Pirie, South Australia