eva: Extreme Value Analysis with Goodness-of-Fit Testing

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.

Package details

AuthorBrian Bader [aut, cre], Jun Yan [ctb]
MaintainerBrian Bader <bbader.stat@gmail.com>
LicenseGPL (>= 2)
URL https://github.com/geekman1/eva_package
Package repositoryView on CRAN
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eva documentation built on May 1, 2019, 8:39 p.m.