EVT

Revision for “EVT” created on April 15, 2015 @ 18:28:00

TitleContentExcerptRevision Note
EVT
This is a collection of algorithms for Extreme Value Theory.

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



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April 15, 2015 @ 18:28:00 webmaster
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