General functions for performing extreme value analysis. In particular, allows for inclusion of covariates into the parameters of the extreme-value distributions, as well as estimation through MLE, L-moments, generalized (penalized) MLE (GMLE), as well as Bayes. Inference methods include parametric normal approximation, profile-likelihood, Bayes, and bootstrapping. Some bivariate functionality and dependence checking (e.g., auto-tail dependence function plot, extremal index estimation) is also included. For a tutorial, see Gilleland and Katz (2016) <doi: 10.18637/jss.v072.i08> and for bootstrapping, please see Gilleland (2020) <doi: 10.1175/JTECH-D-20-0070.1>.
Package details |
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Author | Eric Gilleland |
Maintainer | Eric Gilleland <ericg@ucar.edu> |
License | GPL (>= 2) |
Version | 2.1-4 |
URL | https://staff.ral.ucar.edu/ericg/extRemes/ |
Package repository | View on CRAN |
Installation |
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