valcourgeau/gammaextremes: Univariate Extreme Values with Trawl Processes

Statistical inference tools for univariate extreme time series. It comprises pairwise and generalised method of moments inference strategies described in Courgeau and Veraart (2021) <doi:10.2139/ssrn.3527739> and simulation schemes based on Gamma-distributed trawl processes.

install.packages("remotes")
remotes::install_github("valcourgeau/gammaextremes")