evmix: An R package for Extreme Value Mixture Modeling, Threshold Estimation and Boundary Corrected Kernel Density Estimation

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Title

evmix: An R package for Extreme Value Mixture Modeling, Threshold Estimation and Boundary Corrected Kernel Density Estimation

Content partner

University of Canterbury Library

Collection

UC Research Repository

Description

evmix is an R package (R Core Team 2017) with two interlinked toolsets: i) for extreme value modeling and ii) kernel density estimation. A key issue in univariate extreme value modeling is the choice of threshold beyond which the asymptotically motivated extreme value models provide a suitable tail approximation. The package implements almost all existing extreme value mixture models, which permit objective threshold estimation and uncertainty quantification. Some traditional diagnostic plots...

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Format

Research paper

Research format

Journal article

Date created

2018

Creator

Hu Y / Scarrott C

URL

http://hdl.handle.net/10092/15795

Related subjects

extreme value mixture model / threshold estimation / boundary corrected kernel density estimation / Information and Computing Sciences / Computation Theory and Mathematics / Mathematical Software / Computer Software / Information and computing sciences / Artificial intelligence / Modelling and simulation

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Attribution 3.0 Unported (CC BY 3.0) https://creativecommons.org/licenses/by/3.0/

You can learn more about the rights status of this item at: Attribution 3.0 Unported (CC BY 3.0) https://creativecommons.org/licenses/by/3.0/

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