Extreme Value Analysis

General functions for performing extreme value analysis. In particular, allows for inclusion of covariates into the parameters of the extreme-value distributions, as well as estimation through MLE, L-moments, generalized (penalized) MLE (GMLE), as well as Bayes. Inference methods include parametric normal approximation, profile-likelihood, Bayes, and bootstrapping. Some bivariate functionality and dependence checking (e.g., auto-tail dependence function plot, extremal index estimation) is also included. For a tutorial, see Gilleland and Katz (2016) and for bootstrapping, please see Gilleland (2020) .


Reference manual

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2.1-1 by Eric Gilleland, 4 months ago


Browse source code at https://github.com/cran/extRemes

Authors: Eric Gilleland

Documentation:   PDF Manual  

Task views: Analysis of Ecological and Environmental Data, Extreme Value Analysis

GPL (>= 2) license

Imports graphics, stats

Depends on Lmoments, distillery

Suggests fields

Imported by climextRemes, extremeStat.

Depended on by in2extRemes.

Suggested by lax.

See at CRAN