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evmix (version 2.11)

Extreme Value Mixture Modelling, Threshold Estimation and Boundary Corrected Kernel Density Estimation

Description

The usual distribution functions, maximum likelihood inference and model diagnostics for univariate stationary extreme value mixture models are provided. Kernel density estimation including various boundary corrected kernel density estimation methods and a wide choice of kernels, with cross-validation likelihood based bandwidth estimator. Reasonable consistency with the base functions in the 'evd' package is provided, so that users can safely interchange most code.

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Version

Install

install.packages('evmix')

Monthly Downloads

1,381

Version

2.11

License

GPL-3

Maintainer

Carl Scarrott

Last Published

June 6th, 2018

Functions in evmix (2.11)

MLE Fitting of Boundary Corrected Kernel Density Estimate for Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

MLE Fitting of Normal Bulk and GPD for Both Tails with Single Continuity Constraint at Both Thresholds Extreme Value Mixture Model

MLE Fitting of Kernel Density Estimate for Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

MLE Fitting of Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint using the EM algorithm.

MLE Fitting of Normal Bulk and GPD for Both Tails Extreme Value Mixture Model

MLE Fitting of Normal Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of P-splines Density Estimate for Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Weibull Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Weibull Bulk and GPD Tail Interval Transition Mixture Model

MLE Fitting of log-normal Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Generalised Pareto Distribution (GPD)

MLE Fitting of Kernel Density Estimate for Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of log-normal Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

Cross-validation MLE Fitting of Kernel Density Estimator, With Variety of Kernels

Kernel Density Estimate and GPD Both Upper and Lower Tails Extreme Value Mixture Model With Single Continuity Constraint at Both

Generalised Pareto Distribution (GPD)

MLE Fitting of Hybrid Pareto Extreme Value Mixture Model

Normal Bulk with GPD Upper and Lower Tails Extreme Value Mixture Model with Single Continuity Constraint at Thresholds

MLE Fitting of Hybrid Pareto Extreme Value Mixture Model with Single Continuity Constraint

Weibull Bulk and GPD Tail Interval Transition Mixture Model

Gamma Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

Normal Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

Weibull Bulk and GPD Tail Extreme Value Mixture Model

Normal Bulk and GPD Tail Extreme Value Mixture Model

Kernel Density Estimate and GPD Both Upper and Lower Tails Extreme Value Mixture Model

Kernel Density Estimation, With Variety of Kernels

Kernel Density Estimate and GPD Tail Extreme Value Mixture Model

Weibull Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

Normal Bulk with GPD Upper and Lower Tails Extreme Value Mixture Model

MLE Fitting of Mixture of Gammas Using EM Algorithm

Normal Bulk and GPD Tail Interval Transition Mixture Model

Normal Bulk with GPD Upper and Lower Tails Interval Transition Mixture Model

Log-Normal Bulk and GPD Tail Extreme Value Mixture Model

Kernel Density Estimate and GPD Tail Extreme Value Mixture Model With Single Continuity Constraint

P-Splines probability density function

Log-Normal Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

MLE Fitting of Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture Model using the EM algorithm.

Various subsidiary kernel function, conversion of bandwidths and evaluating certain kernel integrals.

Kernel functions

Gamma Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Weibull Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

MLE Fitting of Normal Bulk and GPD for Both Tails Interval Transition Mixture Model

Mixture of Gammas Distribution

MLE Fitting of Normal Bulk and GPD Tail Interval Transition Mixture Model

Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Normal Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

MLE Fitting of P-splines Density Estimator

Hybrid Pareto Extreme Value Mixture Model

Hybrid Pareto Extreme Value Mixture Model with Single Continuity Constraint

Internal Functions

Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

Mean Residual Life Plot

Parameter Threshold Stability Plots

P-Splines Density Estimate and GPD Tail Extreme Value Mixture Model

Extreme Value Mixture Modelling, Threshold Estimation and Boundary Corrected Kernel Density Estimation

Internal functions for checking function input arguments

Boundary Corrected Kernel Density Estimate and GPD Tail Extreme Value Mixture Model With Single Continuity Constraint

Diagnostic Plots for Extreme Value Mixture Models

Boundary Corrected Kernel Density Estimate and GPD Tail Extreme Value Mixture Model

Cross-validation MLE Fitting of Boundary Corrected Kernel Density Estimation Using a Variety of Approaches

Beta Bulk and GPD Tail Extreme Value Mixture Model

Boundary Corrected Kernel Density Estimation Using a Variety of Approaches

Dynamically Weighted Mixture Model

Beta Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

MLE Fitting of Dynamically Weighted Mixture Model

MLE Fitting of Gamma Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of beta Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of Gamma Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

MLE Fitting of Boundary Corrected Kernel Density Estimate for Bulk and GPD Tail Extreme Value Mixture Model

MLE Fitting of beta Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint

MLE Fitting of Kernel Density Estimate for Bulk and GPD for Both Tails with Single Continuity Constraint at Both Thresholds Extreme Value Mixture Model

MLE Fitting of Kernel Density Estimate for Bulk and GPD for Both Tails Extreme Value Mixture Model