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

Description

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

Details

Package: evmix
Type: Package
Version: 0.2-6
Date: 2015-05-27
License: GPL-3
LazyLoad: yes

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 estimators are included.

Reasonable consistency with the base functions in the evd package is provided, so that users can safely interchange most code.

Author(s)

Carl Scarrott and Yang Hu, University of Canterbury, New Zealand carl.scarrott@canterbury.ac.nz

References

http://www.math.canterbury.ac.nz/~c.scarrott/evmix

Scarrott, C.J. and MacDonald, A. (2012). A review of extreme value threshold estimation and uncertainty quantification. REVSTAT - Statistical Journal 10(1), 33-59. Available from http://www.ine.pt/revstat/pdf/rs120102.pdf

Hu, Y. (2013). Extreme value mixture modelling: An R package and simulation study. MSc (Hons) thesis, University of Canterbury, New Zealand. http://ir.canterbury.ac.nz/simple-search?query=extreme&submit=Go

MacDonald, A. (2012). Extreme value mixture modelling with medical and industrial applications. PhD thesis, University of Canterbury, New Zealand. http://ir.canterbury.ac.nz/bitstream/10092/6679/1/thesis_fulltext.pdf

See Also

evd, ismev and condmixt

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