Provides functions for the selection of extreme value threshold. At the moment only the simplest case, where the data can be treated as independent identically distributed observations, is considered. Future releases will tackle more general situations. See the 'threshr' website for more information, documentation and examples.
The main function in the threshr package is
which uses leave-one-out cross-validation in a Bayesian setup to compare
the predictive ability resulting from the use of each of a user-supplied
set of thresholds.
vignette("threshr-vignette", package = "threshr") for an
overview of the package.
Northrop, P. J. (2017). revdbayes: Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis. R package version 1.2.1. https://cran.r-project.org/package=revdbayes.
Northrop, P. J., Attalides, N. and Jonathan, P. (2017) Cross-validatory extreme value threshold selection and uncertainty with application to ocean storm severity. Journal of the Royal Statistical Society Series C: Applied Statistics, 66(1), 93-120. http://dx.doi.org/10.1111/rssc.12159
ithresh for threshold selection in the i.i.d. case
based on leave-one-out cross-validation.
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