nieve-package: Miscellaneous Utilities for Extreme Value Analysis
In nieve: Miscellaneous Utilities for Extreme Value Analysis
nieve-package R Documentation
Miscellaneous Utilities for Extreme Value Analysis
Description
The DESCRIPTION file:
This package was not yet installed at build time.
Index: This package was not yet installed at build time.
The nieve package provides utility functions for Extreme
Value Analysis. It includes the probability functions for the
two-parameter Generalized Pareto Distribution (GPD) and for the
three-parameter Generalized Extreme Value (GEV)
distribution. These functions are vectorized w.r.t. the parameters
and optionally provide the exact derivatives w.r.t. the
parameters: gradient and Hessian which can be used in optimization
e.g., to maximize the log-likelihood. Since the gradient is
available for the distribution function, the exact gradient of the
log-likelihood function is available even when censored
observations are used.
These functions should behave like the probability functions of
the stats package: when a probability p = 0.0 or
p = 1.0 is given, the quantile functions should return the
lower and the upper end-point, be they finite or not. Also when
evaluated at -Inf and Inf the probability functions
should return 0.0 and 1.0.
The nieve package was partly funded by the French
Institut de Radioprotection et Sûreté
Nucléaire (IRSN) and some of the code formerly was part of R
packages owned by the IRSN Bureau d'Expertise en
Hydrogéologie et sur les Risques d'Inondation, météorologiques et
Géotechniques (Behrig).
nieve documentation built on Oct. 6, 2023, 1:07 a.m.
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| nieve-package | R Documentation |
Miscellaneous Utilities for Extreme Value Analysis
Description
The DESCRIPTION file:
This package was not yet installed at build time.
Index: This package was not yet installed at build time.
The nieve package provides utility functions for Extreme Value Analysis. It includes the probability functions for the two-parameter Generalized Pareto Distribution (GPD) and for the three-parameter Generalized Extreme Value (GEV) distribution. These functions are vectorized w.r.t. the parameters and optionally provide the exact derivatives w.r.t. the parameters: gradient and Hessian which can be used in optimization e.g., to maximize the log-likelihood. Since the gradient is available for the distribution function, the exact gradient of the log-likelihood function is available even when censored observations are used.
These functions should behave like the probability functions of
the stats package: when a probability p = 0.0 or
p = 1.0 is given, the quantile functions should return the
lower and the upper end-point, be they finite or not. Also when
evaluated at -Inf and Inf the probability functions
should return 0.0 and 1.0.
The nieve package was partly funded by the French Institut de Radioprotection et Sûreté Nucléaire (IRSN) and some of the code formerly was part of R packages owned by the IRSN Bureau d'Expertise en Hydrogéologie et sur les Risques d'Inondation, météorologiques et Géotechniques (Behrig).
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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