| egp |
Extended generalised Pareto families |
| egp.pll |
Profile log likelihood for extended generalized Pareto models |
| egpdist |
Extended generalized Pareto distribution |
| emplik |
Self-concordant empirical likelihood for a vector mean |
| eskrain |
Eskdalemuir Observatory Daily Rainfall |
| expme |
Exponent measure for multivariate generalized Pareto distributions |
| extcoef |
Estimators of the extremal coefficient |
| extgp |
Extended generalised Pareto families of Naveau et al. (2016) |
| extgp.G |
Carrier distribution for the extended GP distributions of Naveau et al. |
| fit.egp |
Parameter stability plot and maximum likelihood routine for extended GP models |
| fit.extgp |
Fit an extended generalized Pareto distribution of Naveau et al. |
| fit.gev |
Maximum likelihood estimation for the generalized extreme value distribution |
| fit.gpd |
Maximum likelihood estimation for the generalized Pareto distribution |
| fit.pp |
Maximum likelihood estimation of the point process of extremes |
| fit.rho |
Estimator of the second order tail index parameter |
| fit.rlarg |
Maximum likelihood estimates of point process for the r-largest observations |
| fit.shape |
Shape parameter estimates |
| fit.wgpd |
Maximum likelihood estimation for weighted generalized Pareto distribution |
| frwind |
French wind data |
| geomagnetic |
Magnetic storms |
| gev |
Generalized extreme value distribution |
| gev.abias |
Asymptotic bias of block maxima for fixed sample sizes |
| gev.bcor |
Bias correction for GEV distribution |
| gev.mle |
Generalized extreme value maximum likelihood estimates for various quantities of interest |
| gev.Nyr |
N-year return levels, median and mean estimate |
| gev.pll |
Profile log-likelihood for the generalized extreme value distribution |
| gev.tem |
Tangent exponential model approximation for the GEV distribution |
| gevdist |
Generalized extreme value distribution |
| gevN |
Generalized extreme value distribution (quantile/mean of N-block maxima parametrization) |
| gevr |
Generalized extreme value distribution (return level parametrization) |
| gpd |
Generalized Pareto distribution |
| gpd.abias |
Asymptotic bias of threshold exceedances for k order statistics |
| gpd.bcor |
Bias correction for GP distribution |
| gpd.boot |
Bootstrap approximation for generalized Pareto parameters |
| gpd.lmom |
Estimation of generalized Pareto parameters via L-moments |
| gpd.mle |
Generalized Pareto maximum likelihood estimates for various quantities of interest |
| gpd.pll |
Profile log-likelihood for the generalized Pareto distribution |
| gpd.tem |
Tangent exponential model approximation for the GP distribution |
| gpde |
Generalized Pareto distribution (expected shortfall parametrization) |
| gpdist |
Generalized Pareto distribution |
| gpdN |
Generalized Pareto distribution (mean of maximum of N exceedances parametrization) |
| gpdr |
Generalized Pareto distribution (return level parametrization) |
| rdir |
Random variate generation for Dirichlet distribution on Sd |
| regp |
Extended generalized Pareto distribution |
| rgev |
Generalized extreme value distribution |
| rgp |
Generalized Pareto distribution |
| rgparp |
Simulation from generalized R-Pareto processes |
| rho.dk |
Second order tail index estimator of Drees and Kaufmann |
| rho.fagh |
Second order tail index estimator of Fraga Alves et al. Estimator of the second order regular variation parameter rho <=q 0 parameter for heavy-tailed data proposed by Fraga Alves et al. (2003) |
| rho.gbw |
Second order tail index estimator of Goegebeur et al. (2008) |
| rho.ghp |
Second order tail index estimator of Gomes et al. |
| rlarg |
Distribution of the r-largest observations |
| rmev |
Exact simulations of multivariate extreme value distributions |
| rmevspec |
Random samples from spectral distributions of multivariate extreme value models. |
| rmnorm |
Multivariate Normal distribution sampler |
| rparp |
Simulation from R-Pareto processes |
| rparpcs |
Simulation from Pareto processes using composition sampling |
| rparpcshr |
Simulation of generalized Huesler-Reiss Pareto vectors via composition sampling |
| rrlarg |
Simulate r-largest observations from point process of extremes |
| taildep |
Coefficient of tail correlation and tail dependence |
| test.maxstab |
P-P plot for testing max stability |
| test.scoreindep |
Ramos and Ledford test of independence |
| thselect.alrs |
Automatic L-moment ratio selection method |
| thselect.bab |
Lower truncated Hill threshold selection |
| thselect.cv |
Threshold selection via coefficient of variation |
| thselect.expgqt |
Generalized quantile threshold selection |
| thselect.gbw |
Kernel-based threshold selection of Goegebeur, Beirlant and de Wet (2008) |
| thselect.ksmd |
Mahalanobis distance-based methodology |
| thselect.mdps |
Minimum distance threshold selection procedure |
| thselect.mrl |
Automated mean residual life plots |
| thselect.ncpgp |
Northop and Coleman piecewise generalized Pareto threshold selection diagnostic |
| thselect.pec |
Prediction error C-criterion threshold selection method |
| thselect.pickands |
Pickands' order statistics threshold selection method |
| thselect.rbm |
Threshold selection for the random block maxima method |
| thselect.samsee |
Threshold selection via SAMSEE |
| thselect.sdinfo |
Threshold selection diagnostic of Suveges and Davison |
| thselect.vmetric |
Metric-based threshold selection |
| thselect.wseq |
Wadsworth's sequential analysis threshold selection |
| tstab.cv |
Coefficient of variation threshold stability plot |
| tstab.egp |
Threshold stability plots for extended generalized Pareto models |
| tstab.gpd |
Parameter stability plots for peaks-over-threshold |
| tstab.hill |
Threshold stability plot for Hill estimator |
| tstab.lthill |
Threshold stability plots for left-truncated Hill estimators |
| tstab.mrl |
Mean residual life plot |
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