frechetdat: Multivariate data set with margins following unit Frechet...

Description Format References


Five-variate dataset which margins follow unit-Frechet distributions, obtained from winterdat by probability integral transform. Marginal estimation was performed by maximum likelihood estimation of a Generalized Pareto distribution over marginal thresholds corresponding to 0.7 quantiles, following Cooley (see reference below). The “non extreme” part of the marginal distributions was approximated by the empirical distribution function.


A 601*5 - matrix:


COOLEY, D., DAVIS , R. and NAVEAU , P. (2010). The pairwise beta distribution: A flexible parametric multivariate model for extremes. Journal of Multivariate Analysis 101, 2103-2117.

lbelzile/BMAmevt documentation built on May 17, 2018, 12:16 p.m.