The Gumbel Distribution Functions and Gradients
Gumbel distribution functions (De Haan L. (2007)
<10.1007>) implemented with the techniques of automatic
differentiation (Griewank A. (2008) <978-0-89871-659-7>).
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)
<10.5281>) 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.10.5281>978-0-89871-659-7>10.1007>