Package: RobExtremes 1.3.1

Peter Ruckdeschel

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}.

Authors:Nataliya Horbenko [aut, cph], Bernhard Spangl [ctb], Sascha Desmettre [ctb], Eugen Massini [ctb], Daria Pupashenko [ctb], Gerald Kroisandt [ctb], Matthias Kohl [aut, cph], Peter Ruckdeschel [cre, aut, cph]

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NEWS

# Install 'RobExtremes' in R:
install.packages('RobExtremes', repos = c('https://r-forge.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://r-forge.r-project.org/projects/robast

On CRAN:

3.77 score 39 scripts 258 downloads 73 exports 19 dependencies

Last updated 3 months agofrom:e272ae8e67. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 03 2024
R-4.5-win-x86_64OKNov 03 2024
R-4.5-linux-x86_64OKNov 03 2024
R-4.4-win-x86_64OKNov 03 2024
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Exports:.checkEstClassForParamFamilyAPERYCONSTANTasvarMedkMADasvarPickandsasvarQBCCcheckICcoercedispersionEEULERMASCHERONICONSTANTgetCVaRgetELgetShapeGridgetSnGridgetStartICgetVaRGEVgev.diaggev.profgev.profxiGEVFamilyGEVFamilyMuUnknownGParetoGParetoFamilygpd.diaggpd.profgpd.profxiGumbelGumbelLocationFamilyinitializeIQRkMADkurtosisLDEstimatorliesInSupportlocloc<-locationlocation<-locationnamelocscalenamelocscaleshapenamelocscaleshapename<-makeICmedianmedkMADmedkMADhybrmedQnmedSnMinMin<-modifyModelmoveICBackFromRefParammoveL2Fam2RefParamParetoParetoFamilyPickandsEstimatorQnQuantileBCCEstimatorrescaleFunctionscalescale<-scalenamescaleshapenameshapeshape<-shapenameshowskewnessSnvalidParametervarWeibullFamily

Dependencies:actuarDEoptimRdistrdistrExdistrModevdexpintlatticeMASSmvtnormpcaPPRandVarRobAStBaseRobAStRDArobustbaseROptEstrrcovsfsmiscstartupmsg

Readme and manuals

Help Manual

Help pageTopics
RobExtremes - Optimally Robust Estimation for Extreme Value DistributionsRobExtremes-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 estimatorasvarMedkMAD
Function to compute asymptotic variance of Pickands estimatorasvarPickands
Function to compute asymptotic variance of QuantileBCC estimatorasvarQBCC
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) ExpectationsDistributionsIntegratingByQuantiles-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 FamiliesgetCVaR 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-classGEV
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 distributionsGEVFamily
Generating function for families of Generalized Extreme Value distributionsGEVFamilyMuUnknown
Parameter of generalized Pareto distributionsGEVParameter-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-classGPareto
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 familiesGParetoFamily
Parameter of generalized Pareto distributionsGParetoParameter-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-classGumbel
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 familiesGumbelLocationFamily
Paramter of Gumbel distributionsGumbelParameter-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) estimatesgetShapeGrid 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 DistributionskMAD 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) estimatesLDEstimator 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-classPareto
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 familiesParetoFamily
Paramter of Pareto distributionsMin,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 RobExtremesAPERYCONSTANT 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 FunctionalsIQR 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 familyWeibullFamily