ismev – an Introduction to Statistical Modeling of Extreme Values

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Description

ismev includes functions to support the computations carried out in Coles (2001). The functions may be divided into the following groups; maxima/minima, order statistics, peaks over thresholds and point processes. ismev is an R port of the S-Plus extreme value statistical routines believed to be originally written by Janet E. Heffernan.

Primary functions include:

gev.fit, gev.diag, gpd.fit, gpd.diag, pp.fit and pp.diag.

Original R port was carried out by Alec G. Stephenson, and the package is currently being maintained by Eric Gilleland.

Datasets from Coles (2001) included are:

dowjones euroex fremantle portpirie venice wind engine exchange glass rain wavesurge wooster

References

Coles, Stuart (2001) An Introduction to Statistical Modeling of Extreme Values, London, UK: Springer, ISBN: 1852334592, 208 pp.

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