extremefit: Estimation of Extreme Conditional Quantiles and Probabilities

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Extreme value theory, nonparametric kernel estimation, tail conditional probabilities, extreme conditional quantile, adaptive estimation, quantile regression, survival probabilities.

Author
Gilles Durrieu, Ion Grama, Kevin Jaunatre, Quang-Khoai Pham, Jean-Marie Tricot
Date of publication
2016-12-02 23:31:19
Maintainer
Kevin Jaunatre <kevin.jaunatre@univ-ubs.fr>
License
GPL-2
Version
0.2.0

View on CRAN

Man pages

bandwidth.CV
Choice of the bandwidth by cross validation.
bandwidth.grid
Bandwidth Grid
Biweight.kernel
Biweight kernel function
bootCI
Pointwise confidence intervals by bootstrap
bootCI.ts
Pointwise confidence intervals by bootstrap
Burr-Distribution
The Burr Distribution
CriticalValue
Computation of the critical value in the hill.adapt function
dataOyster
High-frequency noninvasive valvometry data
dataWind
Wind speed for Brest (France)
Epa.kernel
Epanechnikov kernel function
Gaussian.kernel
Gaussian kernel function
goftest
Goodness of fit test statistics
goftest.hill.adapt
Goodness of fit test statistics
goftest.hill.ts
Goodness of fit test statistics for time series
hill
Hill estimator
hill.adapt
Compute the extreme quantile procedure
hill.ts
Compute the extreme quantile procedure on a time dependent...
LoadCurve
Load curve of an habitation
Pareto-Distribution
The Pareto Distribution
Pareto-mix
The Pareto mix Distribution
plot.hill
Hill Plot
plot.hill.adapt
Hill.adapt Plot
pparetoCP
Pareto Change Point distribution
predict.hill
Predict the adaptive Survival or Quantile function
predict.hill.adapt
Predict the adaptive Survival or Quantile function
predict.hill.ts
Predict the adaptive Survival or Quantile function for a time...
probgrid
Probability grid
rburr.dependent
Generate Burr dependent data
Rectangular.kernel
Rectangular kernel function
Triang.kernel
Triangular kernel function
TruncGauss.kernel
Truncated Gaussian kernel function
wecdf
Weighted Empirical Cumulative Distribution Function
wquantile
Weighted quantile

Files in this package

extremefit
extremefit/NAMESPACE
extremefit/data
extremefit/data/dataWind.rda
extremefit/data/dataOyster.rda
extremefit/data/datalist
extremefit/data/LoadCurve.rda
extremefit/R
extremefit/R/PackageOxygen.R
extremefit/MD5
extremefit/DESCRIPTION
extremefit/man
extremefit/man/goftest.hill.adapt.Rd
extremefit/man/rburr.dependent.Rd
extremefit/man/Epa.kernel.Rd
extremefit/man/CriticalValue.Rd
extremefit/man/Pareto-Distribution.Rd
extremefit/man/Gaussian.kernel.Rd
extremefit/man/predict.hill.adapt.Rd
extremefit/man/goftest.Rd
extremefit/man/Biweight.kernel.Rd
extremefit/man/wquantile.Rd
extremefit/man/probgrid.Rd
extremefit/man/hill.Rd
extremefit/man/dataOyster.Rd
extremefit/man/goftest.hill.ts.Rd
extremefit/man/pparetoCP.Rd
extremefit/man/LoadCurve.Rd
extremefit/man/Pareto-mix.Rd
extremefit/man/TruncGauss.kernel.Rd
extremefit/man/plot.hill.adapt.Rd
extremefit/man/Rectangular.kernel.Rd
extremefit/man/hill.adapt.Rd
extremefit/man/hill.ts.Rd
extremefit/man/dataWind.Rd
extremefit/man/wecdf.Rd
extremefit/man/Burr-Distribution.Rd
extremefit/man/bandwidth.grid.Rd
extremefit/man/bandwidth.CV.Rd
extremefit/man/bootCI.ts.Rd
extremefit/man/plot.hill.Rd
extremefit/man/predict.hill.ts.Rd
extremefit/man/bootCI.Rd
extremefit/man/predict.hill.Rd
extremefit/man/Triang.kernel.Rd