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

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.

Author
Carl Scarrott and Yang Hu, University of Canterbury
Date of publication
2015-05-27 14:35:20
Maintainer
Carl Scarrott <carl.scarrott@canterbury.ac.nz>
License
GPL-3
Version
2.6
URLs

View on CRAN

Man pages

bckden
Boundary Corrected Kernel Density Estimation Using a Variety...
bckdengpd
Boundary Corrected Kernel Density Estimate and GPD Tail...
bckdengpdcon
Boundary Corrected Kernel Density Estimate and GPD Tail...
betagpd
Beta Bulk and GPD Tail Extreme Value Mixture Model
betagpdcon
Beta Bulk and GPD Tail Extreme Value Mixture Model with...
checking
Internal functions for checking function input arguments
dwm
Dynamically Weighted Mixture Model
evmix.diag
Diagnostic Plots for Extreme Value Mixture Models
evmix-package
Extreme Value Mixture Modelling, Threshold Estimation and...
fbckden
Cross-validation MLE Fitting of Boundary Corrected Kernel...
fbckdengpd
MLE Fitting of Boundary Corrected Kernel Density Estimate for...
fbckdengpdcon
MLE Fitting of Boundary Corrected Kernel Density Estimate for...
fbetagpd
MLE Fitting of beta Bulk and GPD Tail Extreme Value Mixture...
fbetagpdcon
MLE Fitting of beta Bulk and GPD Tail Extreme Value Mixture...
fdwm
MLE Fitting of Dynamically Weighted Mixture Model
fgammagpd
MLE Fitting of Gamma Bulk and GPD Tail Extreme Value Mixture...
fgammagpdcon
MLE Fitting of Gamma Bulk and GPD Tail Extreme Value Mixture...
fgkg
MLE Fitting of Kernel Density Estimate for Bulk and GPD for...
fgkgcon
MLE Fitting of Kernel Density Estimate for Bulk and GPD for...
fgng
MLE Fitting of Normal Bulk and GPD for Both Tails Extreme...
fgngcon
MLE Fitting of Normal Bulk and GPD for Both Tails with Single...
fgpd
MLE Fitting of Generalised Pareto Distribution (GPD)
fhpd
MLE Fitting of Hybrid Pareto Extreme Value Mixture Model
fhpdcon
MLE Fitting of Hybrid Pareto Extreme Value Mixture Model with...
fitmgng
MLE Fitting of Normal Bulk and GPD for Both Tails Interval...
fitmnormgpd
MLE Fitting of Normal Bulk and GPD Tail Interval Transition...
fitmweibullgpd
MLE Fitting of Weibull Bulk and GPD Tail Interval Transition...
fkden
Cross-validation MLE Fitting of Kernel Density Estimator,...
fkdengpd
MLE Fitting of Kernel Density Estimate for Bulk and GPD Tail...
fkdengpdcon
MLE Fitting of Kernel Density Estimate for Bulk and GPD Tail...
flognormgpd
MLE Fitting of log-normal Bulk and GPD Tail Extreme Value...
flognormgpdcon
MLE Fitting of log-normal Bulk and GPD Tail Extreme Value...
fmgamma
MLE Fitting of Mixture of Gammas Using EM Algorithm
fmgammagpd
MLE Fitting of Mixture of Gammas Bulk and GPD Tail Extreme...
fmgammagpdcon
MLE Fitting of Mixture of Gammas Bulk and GPD Tail Extreme...
fnormgpd
MLE Fitting of Normal Bulk and GPD Tail Extreme Value Mixture...
fnormgpdcon
MLE Fitting of Normal Bulk and GPD Tail Extreme Value Mixture...
fpsden
MLE Fitting of P-splines Density Estimator
fpsdengpd
MLE Fitting of P-splines Density Estimate for Bulk and GPD...
fweibullgpd
MLE Fitting of Weibull Bulk and GPD Tail Extreme Value...
fweibullgpdcon
MLE Fitting of Weibull Bulk and GPD Tail Extreme Value...
gammagpd
Gamma Bulk and GPD Tail Extreme Value Mixture Model
gammagpdcon
Gamma Bulk and GPD Tail Extreme Value Mixture Model with...
gkg
Kernel Density Estimate and GPD Both Upper and Lower Tails...
gkgcon
Kernel Density Estimate and GPD Both Upper and Lower Tails...
gng
Normal Bulk with GPD Upper and Lower Tails Extreme Value...
gngcon
Normal Bulk with GPD Upper and Lower Tails Extreme Value...
gpd
Generalised Pareto Distribution (GPD)
hillplot
Hill Plot
hpd
Hybrid Pareto Extreme Value Mixture Model
hpdcon
Hybrid Pareto Extreme Value Mixture Model with Single...
internal
Internal Functions
itmgng
Normal Bulk with GPD Upper and Lower Tails Interval...
itmnormgpd
Normal Bulk and GPD Tail Interval Transition Mixture Model
itmweibullgpd
Weibull Bulk and GPD Tail Interval Transition Mixture Model
kden
Kernel Density Estimation, With Variety of Kernels
kdengpd
Kernel Density Estimate and GPD Tail Extreme Value Mixture...
kdengpdcon
Kernel Density Estimate and GPD Tail Extreme Value Mixture...
kernels
Kernel functions
kfun
Various subsidiary kernel function, conversion of bandwidths...
lognormgpd
Log-Normal Bulk and GPD Tail Extreme Value Mixture Model
lognormgpdcon
Log-Normal Bulk and GPD Tail Extreme Value Mixture Model with...
mgamma
Mixture of Gammas Distribution
mgammagpd
Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture...
mgammagpdcon
Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture...
mrlplot
Mean Residual Life Plot
normgpd
Normal Bulk and GPD Tail Extreme Value Mixture Model
normgpdcon
Normal Bulk and GPD Tail Extreme Value Mixture Model with...
pickandsplot
Pickands Plot
psden
P-Splines probability density function
psdengpd
P-Splines Density Estimate and GPD Tail Extreme Value Mixture...
tcplot
Parameter Threshold Stability Plots
weibullgpd
Weibull Bulk and GPD Tail Extreme Value Mixture Model
weibullgpdcon
Weibull Bulk and GPD Tail Extreme Value Mixture Model with...

Files in this package

evmix
evmix/inst
evmix/inst/CITATION
evmix/inst/doc
evmix/inst/doc/UserGuide.pdf
evmix/inst/doc/HuScarrott_Submitted_compressed.pdf
evmix/inst/doc/Rd2.pdf
evmix/inst/doc/evmix_supplementary.pdf
evmix/NAMESPACE
evmix/R
evmix/R/fitmgng.r
evmix/R/dnormgpdcon.r
evmix/R/fmgammagpdcon.r
evmix/R/fnormgpd.r
evmix/R/dbckden.r
evmix/R/fweibullgpd.r
evmix/R/fbckdengpd.r
evmix/R/dbetagpd.r
evmix/R/fweibullgpdcon.r
evmix/R/fmgammagpd.r
evmix/R/dkdengpdcon.r
evmix/R/fpsdengpd.r
evmix/R/fgng.r
evmix/R/evmix-package.r
evmix/R/dmgammagpdcon.r
evmix/R/dweibullgpdcon.r
evmix/R/fhpd.r
evmix/R/fbckden.r
evmix/R/dkden.r
evmix/R/dweibullgpd.r
evmix/R/dlognormgpd.r
evmix/R/fhpdcon.r
evmix/R/hillplot.r
evmix/R/dbetagpdcon.r
evmix/R/fmgamma.r
evmix/R/dbckdengpdcon.r
evmix/R/dgammagpd.r
evmix/R/dpsden.r
evmix/R/fpsden.r
evmix/R/fitmweibullgpd.r
evmix/R/ditmnormgpd.r
evmix/R/fdwm.r
evmix/R/fitmnormgpd.r
evmix/R/dnormgpd.r
evmix/R/fgkg.r
evmix/R/fbetagpdcon.r
evmix/R/ditmweibullgpd.r
evmix/R/fbckdengpdcon.r
evmix/R/fkdengpd.r
evmix/R/dlognormgpdcon.r
evmix/R/dbckdengpd.r
evmix/R/dmgammagpd.r
evmix/R/dgngcon.r
evmix/R/flognormgpdcon.r
evmix/R/kernels.r
evmix/R/fnormgpdcon.r
evmix/R/dpsdengpd.r
evmix/R/evmixdiag.r
evmix/R/fgammagpdcon.r
evmix/R/tcplot.r
evmix/R/fgpd.r
evmix/R/dgkg.r
evmix/R/dhpd.r
evmix/R/dgpd.r
evmix/R/dkdengpd.r
evmix/R/dmgamma.r
evmix/R/pickandsplot.r
evmix/R/fbetagpd.r
evmix/R/dgammagpdcon.r
evmix/R/kfun.r
evmix/R/dgkgcon.r
evmix/R/fgkgcon.r
evmix/R/undocumented.r
evmix/R/dgng.r
evmix/R/ddwm.r
evmix/R/fkden.r
evmix/R/fkdengpdcon.r
evmix/R/checking.r
evmix/R/dhpdcon.r
evmix/R/ditmgng.r
evmix/R/flognormgpd.r
evmix/R/mrlplot.r
evmix/R/fgammagpd.r
evmix/R/fgngcon.r
evmix/MD5
evmix/DESCRIPTION
evmix/man
evmix/man/kernels.Rd
evmix/man/kdengpdcon.Rd
evmix/man/fbetagpd.Rd
evmix/man/fgammagpd.Rd
evmix/man/fpsden.Rd
evmix/man/kdengpd.Rd
evmix/man/mgammagpd.Rd
evmix/man/itmgng.Rd
evmix/man/fitmnormgpd.Rd
evmix/man/evmix.diag.Rd
evmix/man/fweibullgpdcon.Rd
evmix/man/normgpd.Rd
evmix/man/internal.Rd
evmix/man/fpsdengpd.Rd
evmix/man/fbckden.Rd
evmix/man/lognormgpd.Rd
evmix/man/hpdcon.Rd
evmix/man/fmgamma.Rd
evmix/man/mgamma.Rd
evmix/man/fhpdcon.Rd
evmix/man/fkden.Rd
evmix/man/hillplot.Rd
evmix/man/bckdengpd.Rd
evmix/man/gkgcon.Rd
evmix/man/weibullgpdcon.Rd
evmix/man/gammagpd.Rd
evmix/man/fmgammagpd.Rd
evmix/man/kfun.Rd
evmix/man/mrlplot.Rd
evmix/man/fgammagpdcon.Rd
evmix/man/bckden.Rd
evmix/man/gpd.Rd
evmix/man/bckdengpdcon.Rd
evmix/man/evmix-package.Rd
evmix/man/flognormgpd.Rd
evmix/man/gkg.Rd
evmix/man/fgng.Rd
evmix/man/fitmweibullgpd.Rd
evmix/man/fnormgpdcon.Rd
evmix/man/fgkg.Rd
evmix/man/itmnormgpd.Rd
evmix/man/lognormgpdcon.Rd
evmix/man/pickandsplot.Rd
evmix/man/mgammagpdcon.Rd
evmix/man/psden.Rd
evmix/man/checking.Rd
evmix/man/fhpd.Rd
evmix/man/itmweibullgpd.Rd
evmix/man/fbetagpdcon.Rd
evmix/man/tcplot.Rd
evmix/man/fmgammagpdcon.Rd
evmix/man/gng.Rd
evmix/man/fbckdengpd.Rd
evmix/man/fkdengpd.Rd
evmix/man/flognormgpdcon.Rd
evmix/man/fbckdengpdcon.Rd
evmix/man/kden.Rd
evmix/man/fweibullgpd.Rd
evmix/man/psdengpd.Rd
evmix/man/fkdengpdcon.Rd
evmix/man/betagpdcon.Rd
evmix/man/gngcon.Rd
evmix/man/normgpdcon.Rd
evmix/man/betagpd.Rd
evmix/man/fitmgng.Rd
evmix/man/fdwm.Rd
evmix/man/dwm.Rd
evmix/man/fgkgcon.Rd
evmix/man/fgpd.Rd
evmix/man/fgngcon.Rd
evmix/man/hpd.Rd
evmix/man/gammagpdcon.Rd
evmix/man/weibullgpd.Rd
evmix/man/fnormgpd.Rd