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RobExtremes (version 1.3.2)

Optimally Robust Estimation for Extreme Value Distributions

Description

Optimally robust estimation for extreme value distributions using S4 classes and methods (based on packages 'distr', 'distrEx', 'distrMod', 'RobAStBase', and 'ROptEst'); the underlying theoretic results can be found in Ruckdeschel and Horbenko, (2013 and 2012), \doi{10.1080/02331888.2011.628022} and \doi{10.1007/s00184-011-0366-4}.

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Version

Install

install.packages('RobExtremes')

Monthly Downloads

201

Version

1.3.2

License

LGPL-3

Maintainer

Peter Ruckdeschel

Last Published

January 15th, 2025

Functions in RobExtremes (1.3.2)

Generating function for Gumbel-class

GumbelLocationFamily

Generating function for Gumbel location families

Pareto distribution

Generating function for Pareto-class

Function to compute LD (location-dispersion) estimates

Generating function for Generalized Pareto families

GParetoParameter-class

Parameter of generalized Pareto distributions

GumbelParameter-class

Paramter of Gumbel distributions

LDEstimate-class

LDEstimate-class.

Gumbel distribution

ParetoParameter-class

Paramter of Pareto distributions

RobExtremesConstants

Built-in Constants in package RobExtremes

Function to compute asymptotic variance of Pickands estimator

Function to compute asymptotic variance of MedkMAD estimator

Function to compute asymptotic variance of QuantileBCC estimator

QuantileBCCEstimator

Function to compute QuantileBCC estimates for the Weibull Family

Generating function for Weibull family

checkmakeIC-methods

Methods for Functions checkIC and makeIC in Package `RobExtremes'

PickandsEstimator

Function to compute Pickands estimates for the GPD and GEVD

Generic Functions for the Computation of Functionals

.checkEstClassForParamFamily-methods

Methods for Function .checkEstClassForParamFamily in Package `RobExtremes'

Function to compute LD (location-dispersion) estimates

Risk Measures for Scale-Shape Families

internal_ldehelpers_for_distrMod

Internal helper functions for treating LDEstimators in package distrMod

internal_interpolate_helpers_for_RobExtremes

Internal helper functions for generating interpolation grids for speed up in package RobExtremes

InternalProbFamilyReturnClasses-class

Internal return classes for generating functions

ismevgpdgevdiag-methods

Methods for Diagnostic Functions in Package `RobExtremes'

getStartIC-methods

Methods for Function getStartIC in Package `RobExtremes'

validParameter-methods

Methods for function validParameter in Package `RobExtremes'

rescaleFunction-methods

Methods for Function rescaleFunction in Package `RobExtremes'

InternalEstimatorReturnClasses

Internal Estimator Return Classes in 'RobExtremes'

InternalProbFamilyClasses-class

Internal Classes for Method Dispatch in 'ProbFamliy' Classes

movToRef-methods

Methods for Functions moving from and to reference parameter in Package `RobExtremes'

Asymmetric Median of Absolute Deviations for Skewed Distributions

Generalized EV distribution

Generating function for GEV-class

RobExtremes-package

RobExtremes -- Optimally Robust Estimation for Extreme Value Distributions

Generating function for Generalized Pareto families

Generating function for families of Generalized Extreme Value distributions

Generic Function for the Computation of (Conditional) Expectations

GEVFamilyMuUnknown

Generating function for families of Generalized Extreme Value distributions

Generating function for GPareto-class

Generalized Pareto distribution

GEVParameter-class

Parameter of generalized Pareto distributions