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.

AuthorCarl Scarrott and Yang Hu, University of Canterbury
Date of publication2015-05-27 14:35:20
MaintainerCarl Scarrott <carl.scarrott@canterbury.ac.nz>
LicenseGPL-3
Version2.6
http://www.math.canterbury.ac.nz/~c.scarrott/evmix

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

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