The R source code for fitting extreme value distributions.
Ecological Archives E086-060-S1.
Authors
File list (downloads)
Description
Richard W. Katz
Environmental and Societal Impacts Group
National Center for Atmospheric Research
Boulder, CO 80307 USA
E-mail: rwk@ucar.edu
Grace S. Brush
Department of Geography and Environmental Engineering
Johns Hopkins University
Baltimore, MD 21218 USA
E-mail: gbrush@jhu.edu
Marc B. Parlange
Department of Geography and Environmental Engineering
Johns Hopkins University
Baltimore, MD 21218 USA
E-mail: mbparlange@jhu.edu
rextreme.txt - R source code for fitting extreme value distributions
This is a text file containing R-language source code for fitting extreme value distributions. These functions were originally written in S by Stuart Coles and converted to R by Alec Stephenson. For an explanation of how to use these functions, see the Appendix in: Stuart Coles, 2001. An introduction to the statistical modeling of extreme values. Springer-Verlag, London, UK.
These functions are included to document how the results in the paper were obtained. For other use, it is recommended that the entire suite of functions for extreme value analysis be downloaded. The Extremes Toolkit includes this suite of functions, as well as a graphical user interface (currently available at: www.esig.ucar.edu/extremevalues/evtk.html).
gev.fit is a R function that estimates the parameters of the generalized extreme value distribution by the method of maximum likelihood.
gpd.fit is a R function that estimates the parameters of the generalized Pareto distribution by the method of maximum likelihood.
pp.fit is a R function that estimates the parameters of the generalized extreme value distribution, via the point process representation, by the method of maximum likelihood.
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