| ismev {ismev} | R Documentation |
ismev – an Introduction to Statistical Modeling of Extreme Values
Description
ismev includes functions to support the computations carried out in Coles (2001). The functions may be divided into the following groups; maxima/minima, order statistics, peaks over thresholds and point processes. ismev is an R port of the S-Plus extreme value statistical routines believed to be originally written by Janet E. Heffernan.
Primary functions include:
gev.fit, gev.diag, gpd.fit, gpd.diag, pp.fit and pp.diag.
Original R port was carried out by Alec G. Stephenson, and the package is currently being maintained by Eric Gilleland.
Datasets from Coles (2001) included are:
dowjones euroex fremantle portpirie venice wind engine exchange glass rain wavesurge wooster
References
Coles, Stuart (2001) An Introduction to Statistical Modeling of Extreme Values, London, UK: Springer, ISBN: 1852334592, 208 pp.