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evd (version 2.3-7.1)

Functions for Extreme Value Distributions

Description

Extends simulation, distribution, quantile and density functions to univariate and multivariate parametric extreme value distributions, and provides fitting functions which calculate maximum likelihood estimates for univariate and bivariate maxima models, and for univariate and bivariate threshold models.

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Version

Install

install.packages('evd')

Monthly Downloads

11,454

Version

2.3-7.1

License

GPL-3

Maintainer

Alec Stephenson

Last Published

September 21st, 2024

Functions in evd (2.3-7.1)

Non-parametric Estimates for Dependence Functions of the Bivariate Extreme Value Distribution

Dependence Measure Plots

Identify Clusters of Exceedences

Compare Nested EVD Objects

Non-parametric Estimates for Dependence Functions of the Multivariate Extreme Value Distribution

Maximum-likelihood Fitting of Bivariate Extreme Value Distributions

Maximum-likelihood Fitting of Bivariate Extreme Value Distributions to Threshold Exceedances

Distributions of Maxima and Minima

Internal Functions

Calculate Confidence Intervals

Calculate Conditional Copulas for Parametric Bivariate Extreme Value Distributions

Maximum-likelihood Fitting of Maxima and Minima

Plot Estimates of the Extremal Index

The Generalized Pareto Distribution

Estimates of the Extremal Index

Maximum Annual Flood Discharges of the Fox River

Peaks Over Threshold Modelling using the Generalized Pareto or Point Process Representation

The Gumbel Distribution

Maximum-likelihood Fitting of the Generalized Extreme Value Distribution

Perform Hypothesis Test Of Independence

Simulate Markov Chains With Extreme Value Dependence Structures

The Frechet Distribution

Simulate MARMA(p,q) Processes

Empirical Mean Residual Life Plot

GEV Transformations

Parametric Multivariate Extreme Value Distributions

Maximum Annual Flood Discharges of the Ocmulgee River

Maximum-likelihood Fitting of Order Statistics

The Generalized Extreme Value Distribution

Distributions of Order Statistics

Parametric Spectral Density Functions of Bivariate Extreme Value Models

Maxima of Two Gumbel Distributions

Annual Maximum Wind Speeds at Lisbon

Maximum-likelihood Fitting of the Maximum of Two Gumbel Distributions

General Liability Claims

plot.profile.evd

Plot Profile Log-likelihoods

Method for Profiling EVD Objects

Plot Diagnostics for a Univariate EVD Object

plot.profile2d.evd

Plot Joint Profile Log-likelihoods

Non-parametric Estimates for Bivariate Quantile Curves

Largest Sea Levels in Venice

Annual Maximum Temperatures at Oxford

Maximum Annual Flood Discharges of the North Saskachevan River

Plot Diagnostics for a Bivariate EVD Object

Oldest Ages for Swedish Males and Females

Method for Profiling EVD Objects

Threshold Choice Plot

Annual Sea Level Maxima at Dover and Harwich with Indicator

Plot Diagnostics for a Bivariate POT EVD Object

Annual Sea Level Maxima at Dover and Harwich

The Reverse Weibull Distribution

Annual Maximum Sea Levels at Port Pirie

Rainfall Maxima at Uccle, Belgium

Largest Sea Levels in Venice

Parametric Dependence Functions of Bivariate Extreme Value Models

Bivariate Threshold Choice Plot

Parametric Dependence Functions of Multivariate Extreme Value Models

Parametric Bivariate Extreme Value Distributions