Package: RobExtremes 1.3.1
RobExtremes: Optimally Robust Estimation for Extreme Value Distributions
Optimally robust estimation for extreme value distributions using S4 classes and methods (based on packages 'distr', 'distrEx', 'distrMod', 'RobAStBase', and 'ROptEst'); the underlying theoretic results can be found in Ruckdeschel and Horbenko, (2013 and 2012), \doi{10.1080/02331888.2011.628022} and \doi{10.1007/s00184-011-0366-4}.
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RobExtremes.pdf |RobExtremes.html✨
RobExtremes/json (API)
NEWS
# Install 'RobExtremes' in R: |
install.packages('RobExtremes', repos = c('https://r-forge.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://r-forge.r-project.org/projects/robast
Last updated 3 days agofrom:e272ae8e67. Checks:OK: 9. Indexed: yes.
Target | Result | Date |
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Doc / Vignettes | OK | Sep 04 2024 |
R-4.5-win-x86_64 | OK | Sep 04 2024 |
R-4.5-linux-x86_64 | OK | Sep 04 2024 |
R-4.4-win-x86_64 | OK | Sep 04 2024 |
R-4.4-mac-x86_64 | OK | Sep 04 2024 |
R-4.4-mac-aarch64 | OK | Sep 04 2024 |
R-4.3-win-x86_64 | OK | Sep 04 2024 |
R-4.3-mac-x86_64 | OK | Sep 04 2024 |
R-4.3-mac-aarch64 | OK | Sep 04 2024 |
Exports:.checkEstClassForParamFamilyAPERYCONSTANTasvarMedkMADasvarPickandsasvarQBCCcheckICcoercedispersionEEULERMASCHERONICONSTANTgetCVaRgetELgetShapeGridgetSnGridgetStartICgetVaRGEVgev.diaggev.profgev.profxiGEVFamilyGEVFamilyMuUnknownGParetoGParetoFamilygpd.diaggpd.profgpd.profxiGumbelGumbelLocationFamilyinitializeIQRkMADkurtosisLDEstimatorliesInSupportlocloc<-locationlocation<-locationnamelocscalenamelocscaleshapenamelocscaleshapename<-makeICmedianmedkMADmedkMADhybrmedQnmedSnMinMin<-modifyModelmoveICBackFromRefParammoveL2Fam2RefParamParetoParetoFamilyPickandsEstimatorQnQuantileBCCEstimatorrescaleFunctionscalescale<-scalenamescaleshapenameshapeshape<-shapenameshowskewnessSnvalidParametervarWeibullFamily
Dependencies:actuarDEoptimRdistrdistrExdistrModevdexpintlatticeMASSmvtnormpcaPPRandVarRobAStBaseRobAStRDArobustbaseROptEstrrcovsfsmiscstartupmsg
Readme and manuals
Help Manual
Help page | Topics |
---|---|
RobExtremes - Optimally Robust Estimation for Extreme Value Distributions | RobExtremes-package RobExtremes |
Methods for Function .checkEstClassForParamFamily in Package `RobExtremes' | .checkEstClassForParamFamily .checkEstClassForParamFamily,GEVFamily,CvMMDEstimate-method .checkEstClassForParamFamily,GEVFamily,Estimate-method .checkEstClassForParamFamily,GEVFamily,kStepEstimate-method .checkEstClassForParamFamily,GEVFamily,LDEstimate-method .checkEstClassForParamFamily,GEVFamily,MCEstimate-method .checkEstClassForParamFamily,GEVFamily,MDEstimate-method .checkEstClassForParamFamily,GEVFamily,MLEstimate-method .checkEstClassForParamFamily,GEVFamily,ORobEstimate-method .checkEstClassForParamFamily,GEVFamilyMuUnknown,CvMMDEstimate-method .checkEstClassForParamFamily,GEVFamilyMuUnknown,Estimate-method .checkEstClassForParamFamily,GEVFamilyMuUnknown,kStepEstimate-method .checkEstClassForParamFamily,GEVFamilyMuUnknown,LDEstimate-method .checkEstClassForParamFamily,GEVFamilyMuUnknown,MCEstimate-method .checkEstClassForParamFamily,GEVFamilyMuUnknown,MDEstimate-method .checkEstClassForParamFamily,GEVFamilyMuUnknown,MLEstimate-method .checkEstClassForParamFamily,GEVFamilyMuUnknown,ORobEstimate-method .checkEstClassForParamFamily,GParetoFamily,CvMMDEstimate-method .checkEstClassForParamFamily,GParetoFamily,Estimate-method .checkEstClassForParamFamily,GParetoFamily,kStepEstimate-method .checkEstClassForParamFamily,GParetoFamily,LDEstimate-method .checkEstClassForParamFamily,GParetoFamily,MCEstimate-method .checkEstClassForParamFamily,GParetoFamily,MDEstimate-method .checkEstClassForParamFamily,GParetoFamily,MLEstimate-method .checkEstClassForParamFamily,GParetoFamily,ORobEstimate-method .checkEstClassForParamFamily-methods |
Function to compute asymptotic variance of MedkMAD estimator | asvarMedkMAD |
Function to compute asymptotic variance of Pickands estimator | asvarPickands |
Function to compute asymptotic variance of QuantileBCC estimator | asvarQBCC |
Methods for Functions checkIC and makeIC in Package `RobExtremes' | checkIC,IC,GEVFamily-method checkIC,IC,GEVFamilyMuUnknown-method checkIC,IC,GParetoFamily-method checkIC,IC,ParetoFamily-method makeIC,IC,GEVFamily-method makeIC,IC,GEVFamilyMuUnknown-method makeIC,IC,GParetoFamily-method makeIC,IC,ParetoFamily-method |
Generic Function for the Computation of (Conditional) Expectations | DistributionsIntegratingByQuantiles-class E E,DistributionsIntegratingByQuantiles,function,missing-method E,GEV,function,missing-method E,GEV,missing,missing-method E,GPareto,function,missing-method E,GPareto,missing,missing-method E,Gumbel,missing,missing-method E,Pareto,function,missing-method E,Pareto,missing,missing-method E-methods |
Risk Measures for Scale-Shape Families | getCVaR getEL getVaR print.riskMeasure |
Methods for Function getStartIC in Package `RobExtremes' | getStartIC getStartIC,L2LocScaleShapeUnion,interpolRisk-method getStartIC,L2ScaleShapeUnion,interpolRisk-method getStartIC,ParetoFamily,interpolRisk-method getStartIC-methods |
Generating function for GEV-class | GEV |
Generalized EV distribution | *,GEV,numeric-method +,GEV,numeric-method GEV-class initialize,GEV-method liesInSupport,GEV,numeric-method loc,GEV-method loc<-,GEV-method location,GEV-method location<-,GEV-method scale,GEV-method scale<-,GEV-method shape,GEV-method shape<-,GEV-method |
Generating function for families of Generalized Extreme Value distributions | GEVFamily |
Generating function for families of Generalized Extreme Value distributions | GEVFamilyMuUnknown |
Parameter of generalized Pareto distributions | GEVParameter-class loc,GEVParameter-method loc<-,GEVParameter-method location,GEVParameter-method location<-,GEVParameter-method scale,GEVParameter-method scale<-,GEVParameter-method shape,GEVParameter-method shape<-,GEVParameter-method |
Generating function for GPareto-class | GPareto |
Generalized Pareto distribution | *,GPareto,numeric-method +,GPareto,numeric-method GPareto-class initialize,GPareto-method liesInSupport,GPareto,numeric-method loc,GPareto-method loc<-,GPareto-method location,GPareto-method location<-,GPareto-method scale,GPareto-method scale<-,GPareto-method shape,GPareto-method shape<-,GPareto-method |
Generating function for Generalized Pareto families | GParetoFamily |
Parameter of generalized Pareto distributions | GParetoParameter-class loc,GParetoParameter-method loc<-,GParetoParameter-method location,GParetoParameter-method location<-,GParetoParameter-method scale,GParetoParameter-method scale<-,GParetoParameter-method shape,GParetoParameter-method shape<-,GParetoParameter-method |
Generating function for Gumbel-class | Gumbel |
Gumbel distribution | *,Gumbel,numeric-method +,Gumbel,numeric-method Gumbel-class initialize,Gumbel-method liesInSupport,Gumbel,numeric-method loc,Gumbel-method loc<-,Gumbel-method scale,Gumbel-method scale<-,Gumbel-method |
Generating function for Gumbel location families | GumbelLocationFamily |
Paramter of Gumbel distributions | GumbelParameter-class loc loc,GumbelParameter-method loc<- loc<-,GumbelParameter-method scale,GumbelParameter-method scale<-,GumbelParameter-method |
Internal Estimator Return Classes in 'RobExtremes' | GEVCvMMD.ALEstimate-class GEVEstimate-class GEVkStepEstimate-class GEVLDEstimate-class GEVMCEstimate-class GEVMDEstimate-class GEVML.ALEstimate-class GEVORobEstimate-class GPDCvMMD.ALEstimate-class GPDEstimate-class GPDkStepEstimate-class GPDLDEstimate-class GPDMCEstimate-class GPDMDEstimate-class GPDML.ALEstimate-class GPDORobEstimate-class InternalEstimatorReturnClasses-class |
Function to compute LD (location-dispersion) estimates | getShapeGrid getSnGrid interpolateSn |
Methods for Diagnostic Functions in Package `RobExtremes' | gev.diag gev.diag,gev.fit-method gev.diag,GEVEstimate-method gev.diag-methods gev.prof gev.prof,gev.fit-method gev.prof,GEVEstimate-method gev.profxi gev.profxi,gev.fit-method gev.profxi,GEVEstimate-method gev.profxi-methods gpd.diag gpd.diag,gpd.fit-method gpd.diag,GPDEstimate-method gpd.diag-methods gpd.prof gpd.prof,gpd.fit-method gpd.prof,GPDEstimate-method gpd.profxi gpd.profxi,gpd.fit-method gpd.profxi,GPDEstimate-method gpd.profxi-methods |
Asymmetric Median of Absolute Deviations for Skewed Distributions | kMAD kMAD,numeric,numeric-method kMAD,UnivariateDistribution,numeric-method kMAD-methods |
LDEstimate-class. | dispersion dispersion,LDEstimate-method LDEstimate-class location,LDEstimate-method show,LDEstimate-method |
Function to compute LD (location-dispersion) estimates | LDEstimator medkMAD medkMADhybr medQn medSn |
Methods for Functions moving from and to reference parameter in Package `RobExtremes' | moveICBackFromRefParam moveICBackFromRefParam,IC,L2LocScaleShapeUnion-method moveICBackFromRefParam,IC,L2ScaleShapeUnion-method moveICBackFromRefParam-methods moveL2Fam2RefParam moveL2Fam2RefParam,L2ScaleShapeUnion-method moveL2Fam2RefParam-methods |
Generating function for Pareto-class | Pareto |
Pareto distribution | *,Pareto,numeric-method initialize,Pareto-method liesInSupport,Pareto,numeric-method Min,Pareto-method Min<-,Pareto-method Pareto-class scale,Pareto-method shape,Pareto-method shape<-,Pareto-method |
Generating function for Generalized Pareto families | ParetoFamily |
Paramter of Pareto distributions | Min,ParetoParameter-method Min<-,ParetoParameter-method ParetoParameter-class scale,ParetoParameter-method shape shape,ParetoParameter-method shape<- shape<-,ParetoParameter-method |
Function to compute Pickands estimates for the GPD and GEVD | .PickandsEstimator PickandsEstimator |
Function to compute QuantileBCC estimates for the Weibull Family | .QBCC QuantileBCCEstimator |
Built-in Constants in package RobExtremes | APERYCONSTANT EULERMASCHERONICONSTANT |
Methods for function validParameter in Package `RobExtremes' | validParameter validParameter,GEVFamily-method validParameter,GEVFamilyMuUnknown-method validParameter,GParetoFamily-method validParameter,ParetoFamily-method validParameter,WeibullFamily-method validParameter-methods |
Generic Functions for the Computation of Functionals | IQR IQR,GEV-method IQR,GPareto-method IQR,Gumbel-method IQR,Pareto-method IQR-methods kurtosis kurtosis,GEV-method kurtosis,GPareto-method kurtosis,Gumbel-method kurtosis,Pareto-method kurtosis-methods median median,GEV-method median,GPareto-method median,Gumbel-method median,Pareto-method median-methods Qn Qn,AffLinDistribution-method Qn,ANY-method Qn,DiscreteDistribution-method Qn,Norm-method Qn,UnivariateDistribution-method Qn-methods skewness skewness,GEV-method skewness,GPareto-method skewness,Gumbel-method skewness,Pareto-method skewness-methods Sn Sn,AffLinDistribution-method Sn,ANY-method Sn,DiscreteDistribution-method Sn,Gammad-method Sn,GEV-method Sn,GPareto-method Sn,Norm-method Sn,Pareto-method Sn,UnivariateDistribution-method Sn,Weibull-method Sn-methods var var,GEV-method var,GPareto-method var,Gumbel-method var,Pareto-method var-methods |
Generating function for Weibull family | WeibullFamily |