R package eva: Extreme Value Analysis with Goodness-of-Fit Testing. Goodness-of-fit tests for selection of r in the r-largest order statistics (GEVr) model. Goodness-of-fit tests for threshold selection in the Generalized Pareto distribution (GPD). Random number generation and density functions for the GEVr distribution. Profile likelihood for return level estimation using the GEVr and Generalized Pareto distributions. P-value adjustments for sequential, multiple testing error control. Non-stationary fitting of GEVr and GPD.
References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Bader, Brian; Yan, Jun; Zhang, Xuebin: Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate (2018)
- Brian Bader: Automated, Efficient, and Practical Extreme Value Analysis with Environmental Applications (2016) arXiv