EVT

This is a collection of algorithms for Extreme Value Theory.

  • univariate distributions:
    • Gumbel
    • Frechet
    • Weibull
    • Generalized EV (GEVD)
    • Generalized Pareto (GPD)
    • maxima
    • minima
    • order statistics
  • bivariate distributions:
    • asymmetric logic
    • asymmetric mixed
    • asymmetric negative logistic
    • bilogistic
    • Coles-Tawn
    • Husler-Reiss
    • logistic
    • negative bilogistic
    • negative logistic
  • return level and return period
  • extremal index estimation
    • Ferro-Seegers algorithm
  • cluster analysis
  • extreme value markov chain
  • extreme value time series, i.e., MARMA(p,q) model
  • fitting GEVD by maximum likelihood estimation
  • fitting GPD by Peaks-over-Threshold (POT) method
  • fitting Gumbel type by Average Conditional Exceedance Rate (ACER) method