extremefit: Estimation of Extreme Conditional Quantiles and Probabilities

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

AuthorGilles Durrieu, Ion Grama, Kevin Jaunatre, Quang-Khoai Pham, Jean-Marie Tricot
Date of publication2016-12-02 23:31:19
MaintainerKevin Jaunatre <kevin.jaunatre@univ-ubs.fr>
LicenseGPL-2
Version0.2.0

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.