Extreme Value Analysis with Goodness-of-Fit Testing
Description
Goodness-of-fit tests for selection of r in the r-largest order
statistics (GEVr) model. Goodness-of-fit tests for threshold selection in the
Generalized Pareto distribution (GPD). Random number generation and density functions
for the GEVr distribution. Profile likelihood for return level estimation
using the GEVr and Generalized Pareto distributions. P-value adjustments for
sequential, multiple testing error control. Non-stationary fitting of GEVr and
GPD.
Bader, B., Yan, J. & Zhang, X. (2016) .
Bader, B., Yan, J. & Zhang, X. (2018) .