The DESCRIPTION file: tools:::Rd_package_DESCRIPTION("nieve") tools:::Rd_package_indices("nieve")
The nieve package provides utility functions for Extreme Value Analysis. It includes the probability functions for the two-parameter Generalized Pareto Distribution (GPD) and for the three-parameter Generalized Extreme Value (GEV) distribution. These functions are vectorized w.r.t. the parameters and optionally provide the exact derivatives w.r.t. the parameters: gradient and Hessian which can be used in optimization e.g., to maximize the log-likelihood. Since the gradient is available for the distribution function, the exact gradient of the log-likelihood function is available even when censored observations are used.
These functions should behave like the probability functions of
the stats package: when a probability p = 0.0 or
p = 1.0 is given, the quantile functions should return the
lower and the upper end-point, be they finite or not. Also when
evaluated at -Inf and Inf the probability functions
should return 0.0 and 1.0.
The nieve package was partly funded by the French Institut de Radioprotection et Sûreté Nucléaire (IRSN) and some of the code formerly was part of R packages owned by the IRSN Bureau d'Expertise en Hydrogéologie et sur les Risques d'Inondation, météorologiques et Géotechniques (Behrig).