https://github.com/stla/gfiextremes

Generalized fiducial inference for extremes.
https://github.com/stla/gfiextremes

extremes fiducial pareto-distributions r rcpp

Last synced: 13 days ago
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Generalized fiducial inference for extremes.

• Host: GitHub
• URL: https://github.com/stla/gfiextremes
• Owner: stla
• Created: 2020-11-22T01:54:40.000Z (almost 4 years ago)
• Default Branch: main
• Last Pushed: 2024-01-25T15:47:30.000Z (10 months ago)
• Last Synced: 2024-10-05T01:07:28.024Z (about 1 month ago)
• Topics: extremes, fiducial, pareto-distributions, r, rcpp
• Language: R
• Homepage:
• Size: 123 KB
• Stars: 0
• Watchers: 3
• Forks: 1
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
# gfiExtremes

Fiducial framework to perform inference on the quantiles for a generalized 

Pareto distribution model and on the parameters of the Pareto exceedance 

distribution, assuming the exceedance threshold is a known or unknown parameter.

### Reference

Damian V. Wandler & Jan Hannig. 

[Generalized fiducial confidence intervals for extremes](https://hannig.cloudapps.unc.edu/publications/WandlerHannig2012a.pdf).

Extremes 15 (2012), pp 67–87.