Extreme Value Analysis with Goodness-of-Fit Testing
eva: Extreme Value Analysis with Goodness-of-Fit Testing
The GEVr Distribution
Diagnostic plots for a fit to the GEVr distribution.
GEVr Entropy Difference Test
Parameter estimation for the GEVr distribution model
GEVr Multiplier Score Test
GEVr Parametric Bootstrap Score Test
GEVr Shape Parameter Profile Likelihood Estimation for Stationary Mode...
GEVr Return Level Estimate and Confidence Interval for Stationary Mode...
Sequential Tests for the GEVr Model
The Generalized Pareto Distribution (GPD)
Generalized Pareto Distribution Anderson-Darling Test
Generalized Pareto Distribution Cramer-von Mises Test
Diagnostic plots for a fit to the Generalized Pareto distribution
Parameter estimation for the Generalized Pareto Distribution (GPD)
GPD Asymptotic Adjusted Information Matrix (IM) Test
GPD Bootstrapped Information Matrix (IM) Test
GPD Multiplier Score Test
GPD Parametric Bootstrap Score Test
GPD Shape Parameter Profile Likelihood Estimation for Stationary Model...
GPD Return Level Estimate and Confidence Interval for Stationary Model...
GPD Multiple Threshold Goodness-of-Fit Testing
Mean Residual Life Plot for the Generalized Pareto Distribution
P-Value Sequential Adjustment
Goodness-of-fit tests for selection of r in the r-largest order statistics (GEVr) model. Goodness-of-fit tests for threshold selection in the Generalized Pareto distribution (GPD). Random number generation and density functions for the GEVr distribution. Profile likelihood for return level estimation using the GEVr and Generalized Pareto distributions. P-value adjustments for sequential, multiple testing error control. Non-stationary fitting of GEVr and GPD. Bader, B., Yan, J. & Zhang, X. (2016) <doi:10.1007/s11222-016-9697-3>. Bader, B., Yan, J. & Zhang, X. (2018) <doi:10.1214/17-AOAS1092>.
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