Extreme Value Statistics and Quantile Estimation

Code to fit, plot and compare several (extreme value) distribution functions. Can also compute (truncated) distribution quantile estimates and draw a plot with return periods on a linear scale.


extremeStat ToDo-list / wishlist / issues

  • distLprint: possibly change to print method for dlf objects with personal class
  • q_gpd: consider an extra package in suggests for this, to reduce dependencies for the core of extremeStat
  • distLfit line 137: put laplace back in after lmomco update, update version dependency in imports
  • distLgof line 155 + distLplot line 180: put gld back in after bug is fixed

extremeStat Package by Berry Boessenkool, berry-b@gmx.de Any feedback is welcome, per email or on github.com/brry/extremeStat

Version 0.5.15 (2016-05-11) submitted to CRAN various changes, see github commit log at https://github.com/brry/extremeStat/commits/master highlights:

  • package has a vignette and is Roxygenized
  • quantile estimation now possible, function tested and expanded thoroughly
  • POT method (truncation parameter) introduced
  • GPD quantile comparison across 7 R packages
  • failed parameter fitting is handled much better, warning messages became useful
  • quiet argument added throughout the package
  • several defaults were improved
  • documentation was updated and enhanced, including comments in code
  • distLgof now returns weights calculated by 3 different methods
  • distLplot now uses supdist, package depends on lmomco >=2.1.3 (version that includes supdist)
  • installB: moved to https://github.com/brry/installB to remove devtools dependency here

new functions: distLextremePlot, distLprint, distLquantile, q_gpd renamed distLgofPlot for consistency in lowerCamel-derived case usage.

Version 0.4 (2014-12-04) depends on berryFunctions again (maintaning functions twice is nonsense)

  • distLgof now has ks and quiet argument
  • distLplot now has las and ylab arguments
  • distLfit gained quiet argument

Version 0.3 (2014-09-30) independent from berryFunctions now. Thus I included lim0, logAxis, logVals, owa, rainbow2, rmse, rsquare

Version 0.2 (2014-09-22) First version submitted to CRAN, was not accepted. Documentation slightly refined here and there changed all "cat" to "message" added datname element in dlf, used for main and xlab in all suitable plots

  • distLplot:

log=TRUE now works properly, as it just draws logAxis

logargs argument added

PDF lines now truncated to support region of distribution

plots with xlim outside of support region now possible without error

new default for color vector

density plot now with lim0

if(percentline), a vartical dashed line at gofProp is drawn

  • distLgof:

plot default is now TRUE

  • distLfit #distLgof is now explicitly called with plot=FALSE

  • distLgofplot:

received a bunch of graphic arguments

'order' and 'add' arguments added

Version 0.1 (2014-09-15) Initial build with the functions: distLextreme (replacing berryFunctions::extremeStatLmom) distLfit distLplot distLgof distLgofplot

Reference manual

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1.4.0 by Berry Boessenkool, 2 months ago


Report a bug at https://github.com/brry/extremeStat

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

Authors: Berry Boessenkool

Documentation:   PDF Manual  

Task views: Extreme Value Analysis

GPL (>= 2) license

Imports lmomco, berryFunctions, pbapply, RColorBrewer, grDevices, graphics, methods, stats, utils, evir, ismev, fExtremes, extRemes, evd, Renext

Suggests testthat, knitr, rmarkdown

See at CRAN