Miscellaneous Utilities for Extreme Value Analysis
Description
Provides utility functions and objects for Extreme Value
Analysis. These include probability functions with their exact
derivatives w.r.t. the parameters that can be used for estimation
and inference, even with censored observations. The
transformations exchanging the two parameterizations of Peaks Over
Threshold (POT) models: Poisson-GP and Point-Process are also
provided with their derivatives.