Extremes.jl: Extreme Value Analysis in Julia
Dublin Core
Title
Extremes.jl: Extreme Value Analysis in Julia
Subject
: extreme value analysis, generalized extreme value distribution, generalized Pareto
distribution, block maxima, peaks-over-threshold, nonstationary extremes, Julia.
distribution, block maxima, peaks-over-threshold, nonstationary extremes, Julia.
Description
The Extremes.jl package provides exhaustive, high-performance functions by leveraging the multiple-dispatch capabilities in Julia for the analysis of extreme values. In
particular, the package implements statistical models for both block maxima and peaksover-threshold methods, along with several methods for the generalized extreme value and
generalized Pareto distributions used in extreme value theory. Additionally, the package
offers various parameter estimation methods, such as probability-weighted moments, maximum likelihood, and Bayesian estimation. It also includes tools for handling dependence
in excesses over a threshold and methods for managing nonstationary models. Inference
for extreme quantiles is available for both stationary and nonstationary models, along
with diagnostic figures to assess the goodness of fit of the model to the data.
particular, the package implements statistical models for both block maxima and peaksover-threshold methods, along with several methods for the generalized extreme value and
generalized Pareto distributions used in extreme value theory. Additionally, the package
offers various parameter estimation methods, such as probability-weighted moments, maximum likelihood, and Bayesian estimation. It also includes tools for handling dependence
in excesses over a threshold and methods for managing nonstationary models. Inference
for extreme quantiles is available for both stationary and nonstationary models, along
with diagnostic figures to assess the goodness of fit of the model to the data.
Creator
Jonathan Jalbert
Source
https://www.jstatsoft.org/article/view/v109i06
Publisher
Polytechnique Montréal
Date
Mau 2024
Contributor
Fajar bagus W
Format
PDF
Language
English
Type
Text
Files
Collection
Citation
Jonathan Jalbert, “Extremes.jl: Extreme Value Analysis in Julia,” Repository Horizon University Indonesia, accessed April 4, 2025, https://repository.horizon.ac.id/items/show/8331.