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evmix (version 2.12)

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

1,228

Version

2.12

License

GPL-3

Maintainer

Last Published

September 3rd, 2019

Functions in evmix (2.12)

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

Beta Bulk and GPD Tail Extreme Value Mixture Model

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

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

Boundary Corrected Kernel Density Estimation Using a Variety of Approaches

Diagnostic Plots for Extreme Value Mixture Models

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

Internal functions for checking function input arguments

Dynamically Weighted Mixture Model

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

MLE Fitting of Dynamically Weighted Mixture Model

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

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

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 Hybrid Pareto Extreme Value Mixture Model

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

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

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

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

MLE Fitting of beta 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

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

MLE Fitting of Mixture of Gammas Using EM Algorithm

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

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 Tail Extreme Value Mixture Model

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

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

MLE Fitting of Generalised Pareto Distribution (GPD)

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

Gamma 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

Weibull Bulk and GPD Tail Interval Transition Mixture Model

Hybrid Pareto Extreme Value Mixture Model with Single Continuity Constraint

Internal Functions

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

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

MLE Fitting of P-splines Density Estimator

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

Mixture of Gammas Distribution

Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture Model

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

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

Normal Bulk and GPD Tail Interval Transition Mixture Model

Kernel Density Estimation, With Variety of Kernels

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

Parameter Threshold Stability Plots

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

Generalised Pareto Distribution (GPD)

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

Weibull 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 With Single Continuity Constraint at Both

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

Kernel Density Estimate and GPD Tail Extreme Value Mixture Model

Log-Normal Bulk and GPD Tail Extreme Value Mixture Model

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

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

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

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

P-Splines probability density function

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

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

Mean Residual Life Plot

Kernel functions

Hybrid Pareto Extreme Value Mixture Model

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

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