extRemes: Extreme Value Analysis

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

AuthorEric Gilleland
MaintainerEric Gilleland <ericg@ucar.edu>
LicenseGPL (>= 2)
URL https://ral.ucar.edu/staff/ericg/extRemes/
Package repositoryView on CRAN
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extRemes documentation built on May 24, 2021, 5:06 p.m.