The Gumbel Distribution Functions and Gradients

Gumbel distribution functions (De Haan L. (2007) ) implemented with the techniques of automatic differentiation (Griewank A. (2008) ). With this tool, a user should be able to quickly model extreme events for which the Gumbel distribution is the domain of attraction. The package makes available the density function, the distribution function the quantile function and a random generating function. In addition, it supports gradient functions. The package combines 'Adept' (C++ templated automatic differentiation) (Hogan R. (2017) ) and 'Eigen' (templated matrix-vector library) for fast computations of both objective functions and exact gradients. It relies on 'RcppEigen' for easy access to 'Eigen' and bindings to R.


Reference manual

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1.0.1 by Berent Ånund Strømnes Lunde, a year ago

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Authors: Berent Ånund Strømnes Lunde [aut, cre, cph] , Robin Hogan [ctb] (Author of included Adept library) , The University of Reading [cph] (Copyright holder of included Adept library)

Documentation:   PDF Manual  

Task views: Probability Distributions

GPL (>= 2) license

Imports Rcpp

Linking to Rcpp, RcppEigen

See at CRAN