RobExtremes: Optimally Robust Estimation for Extreme Value Distributions

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Optimally robust estimation for extreme value distributions using S4 classes and methods (based on packages distr, distrEx, distrMod, RobAStBase, and ROptEst).

Author
Nataliya Horbenko [aut, cph], Bernhard Spangl [ctb] (contributed smoothed grid values of the Lagrange multipliers), Sascha Desmettre [ctb] (contributed smoothed grid values of the Lagrange multipliers), Eugen Massini [ctb] (contributed an interactive smoothing routine for smoothing the Lagrange multipliers and smoothed grid values of the Lagrange multipliers), Daria Pupashenko [ctb] (contributed MDE-estimation for GEV distribution in the framework of her PhD thesis 2011--14), Gerald Kroisandt [ctb] (contributed testing routines), Matthias Kohl [aut, cph], Peter Ruckdeschel [cre, aut, cph]
Date of publication
2016-09-06 19:10:04
Maintainer
Peter Ruckdeschel <peter.ruckdeschel@uni-oldenburg.de>
License
LGPL-3
Version
1.0
URLs

View on R-Forge

Man pages

0RobExtremes-package
RobExtremes - Optimally Robust Estimation for Extreme Value...
asvarMedkMAD
Function to compute asymptotic variance of MedkMAD estimator
asvarPickands
Function to compute asymptotic variance of Pickands estimator
asvarQBCC
Function to compute asymptotic variance of QuantileBCC...
E
Generic Function for the Computation of (Conditional)...
getCVaR
Risk Measures for Scale-Shape Families
getStartIC-methods
Methods for Function getStartIC in Package 'RobExtremes'
GEV
Generating function for GEV-class
GEV-class
Generalized EV distribution
GEVFamily
Generating function for families of Generalized Extreme Value...
GEVFamilyMuUnknown
Generating function for families of Generalized Extreme Value...
GEVParameter-class
Parameter of generalized Pareto distributions
GPareto
Generating function for GPareto-class
GPareto-class
Generalized Pareto distribution
GParetoFamily
Generating function for Generalized Pareto families
GParetoParameter-class
Parameter of generalized Pareto distributions
Gumbel
Generating function for Gumbel-class
Gumbel-class
Gumbel distribution
GumbelLocationFamily
Generating function for Gumbel location families
GumbelParameter-class
Paramter of Gumbel distributions
internal-interpolate
Internal helper functions for generating interpolation grids...
internalldeHelpers
Internal helper functions for treating LDEstimators in...
internal-methods
Methods for Function .checkEstClassForParamFamily in Package...
InternalReturnClasses-class
Internal return classes for generating functions
interpolateSn
Function to compute LD (location-dispersion) estimates
ismevgpdgevdiag-methods
Methods for Diagnostic Functions in Package 'RobExtremes'
kMAD
Asymmetric Median of Absolute Deviations for Skewed...
LDEstimate-class
LDEstimate-class.
LDEstimator
Function to compute LD (location-dispersion) estimates
mov2bckRef-methods
Methods for Functions moving from and to reference parameter...
Pareto
Generating function for Pareto-class
Pareto-class
Pareto distribution
ParetoFamily
Generating function for Generalized Pareto families
ParetoParameter-class
Paramter of Pareto distributions
PickandsEstimator
Function to compute Pickands estimates for the GPD and GEVD
QuantileBCCEstimator
Function to compute QuantileBCC estimates for the Weibull...
rescaleFunction-methods
Methods for Function rescaleFunction in Package 'RobExtremes'
RobExtremesConstants
Built-in Constants in package RobExtremes
validParameter-methods
Methods for function validParameter in Package 'RobExtremes'
Var
Generic Functions for the Computation of Functionals
WeibullFamily
Generating function for Weibull family

Files in this package

RobExtremes/DESCRIPTION
RobExtremes/NAMESPACE
RobExtremes/R
RobExtremes/R/00fromRobAStRDA.R
RobExtremes/R/AllClass.R
RobExtremes/R/AllGeneric.R
RobExtremes/R/AllInitialize.R
RobExtremes/R/AllShow.R
RobExtremes/R/Expectation.R
RobExtremes/R/Functionals.R
RobExtremes/R/GEV.R
RobExtremes/R/GEVFamily.R
RobExtremes/R/GEVFamilyMuUnknown.R
RobExtremes/R/GPareto.R
RobExtremes/R/GParetoFamily.R
RobExtremes/R/Gumbel.R
RobExtremes/R/GumbelLocationFamily.R
RobExtremes/R/Kurtosis.R
RobExtremes/R/LDEstimator.R
RobExtremes/R/Pareto.R
RobExtremes/R/ParetoFamily.R
RobExtremes/R/PickandsEstimator.R
RobExtremes/R/QBCC.R
RobExtremes/R/Skewness.R
RobExtremes/R/SnQn.R
RobExtremes/R/WeibullFamily.R
RobExtremes/R/asvarMedkMAD.R
RobExtremes/R/asvarPickands.R
RobExtremes/R/bdpPickands.R
RobExtremes/R/checkEstClassForParamFamiliyMethods.R
RobExtremes/R/getCVaR.R
RobExtremes/R/getStartIC.R
RobExtremes/R/gevgpddiag.R
RobExtremes/R/internal-getpsi.R
RobExtremes/R/interpolLM.R
RobExtremes/R/interpolSn.R
RobExtremes/R/kMAD.R
RobExtremes/R/move2bckRefParam.R
RobExtremes/R/plotOutlyingness.R
RobExtremes/R/rescaleFct.R
RobExtremes/R/startEstGEV.R
RobExtremes/R/startEstGPD.R
RobExtremes/inst
RobExtremes/inst/AddMaterial
RobExtremes/inst/AddMaterial/comment.txt
RobExtremes/inst/AddMaterial/interpolation
RobExtremes/inst/AddMaterial/interpolation/SnTest.Rdata
RobExtremes/inst/AddMaterial/interpolation/Snplot.pdf
RobExtremes/inst/AddMaterial/interpolation/WriteUp-Interpolators.txt
RobExtremes/inst/AddMaterial/interpolation/checkSn.R
RobExtremes/inst/AddMaterial/interpolation/getLMInterpol.R
RobExtremes/inst/AddMaterial/interpolation/interpolationscripts.R
RobExtremes/inst/AddMaterial/interpolation/plotInterpol.R
RobExtremes/inst/CITATION
RobExtremes/inst/NEWS
RobExtremes/inst/TOBEDONE
RobExtremes/inst/scripts
RobExtremes/inst/scripts/ExamplesForDiagnosticsWrappersWithGEVGPD.R
RobExtremes/inst/scripts/GEVcheck.R
RobExtremes/inst/scripts/GumbelLocationModel.R
RobExtremes/man
RobExtremes/man/0RobExtremes-package.Rd
RobExtremes/man/E.Rd
RobExtremes/man/GEV-class.Rd
RobExtremes/man/GEV.Rd
RobExtremes/man/GEVFamily.Rd
RobExtremes/man/GEVFamilyMuUnknown.Rd
RobExtremes/man/GEVParameter-class.Rd
RobExtremes/man/GPareto-class.Rd
RobExtremes/man/GPareto.Rd
RobExtremes/man/GParetoFamily.Rd
RobExtremes/man/GParetoParameter-class.Rd
RobExtremes/man/Gumbel-class.Rd
RobExtremes/man/Gumbel.Rd
RobExtremes/man/GumbelLocationFamily.Rd
RobExtremes/man/GumbelParameter-class.Rd
RobExtremes/man/InternalReturnClasses-class.Rd
RobExtremes/man/LDEstimate-class.Rd
RobExtremes/man/LDEstimator.Rd
RobExtremes/man/Pareto-class.Rd
RobExtremes/man/Pareto.Rd
RobExtremes/man/ParetoFamily.Rd
RobExtremes/man/ParetoParameter-class.Rd
RobExtremes/man/PickandsEstimator.Rd
RobExtremes/man/QuantileBCCEstimator.Rd
RobExtremes/man/RobExtremesConstants.Rd
RobExtremes/man/Var.Rd
RobExtremes/man/WeibullFamily.Rd
RobExtremes/man/asvarMedkMAD.Rd
RobExtremes/man/asvarPickands.Rd
RobExtremes/man/asvarQBCC.Rd
RobExtremes/man/getCVaR.Rd
RobExtremes/man/getStartIC-methods.Rd
RobExtremes/man/internal-interpolate.Rd
RobExtremes/man/internal-methods.Rd
RobExtremes/man/internalldeHelpers.Rd
RobExtremes/man/interpolateSn.Rd
RobExtremes/man/ismevgpdgevdiag-methods.Rd
RobExtremes/man/kMAD.Rd
RobExtremes/man/mov2bckRef-methods.Rd
RobExtremes/man/rescaleFunction-methods.Rd
RobExtremes/man/validParameter-methods.Rd
RobExtremes/src
RobExtremes/src/kMad.c