Projects in Awesome Lists tagged with extreme-value-statistics

https://github.com/georgebv/pyextremes

Extreme Value Analysis (EVA) in Python

block-maxima eva extreme-events extreme-value-analysis extreme-value-statistics extremes peaks-over-threshold python statistics

Last synced: 04 Apr 2025

https://github.com/kikocorreoso/scikit-extremes

scikit-extremes is a basic statistical package to perform univariate extreme value calculations using Python

extreme-value-analysis extreme-value-statistics python scikit-extremes statistics

Last synced: 14 Apr 2025

https://github.com/rena95/Loss-Distribution-Approach

The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.

copula copula-models extreme-value-statistics lda loss-distribution loss-distribution-approach operational-risk r risk-management value-at-risk

Last synced: 04 Dec 2024

https://github.com/paulnorthrop/threshr

Threshold Selection and Uncertainty for Extreme Value Analysis

extreme-value-statistics extremes generalized inference pareto plot prediction threshold threshold-selection uncertainty

Last synced: 17 Apr 2025

https://github.com/paulnorthrop/revdbayes

Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis

analysis bayesian extreme extreme-value-statistics extremes generalized-pareto-distribution gev inference nhpp point-process posterior predictive r rcpp value

Last synced: 16 Apr 2025

https://github.com/cran-task-views/extremevalue

CRAN Task View: Extreme Value Analysis

cran extreme-value-analysis extreme-value-statistics r rstats task-views

Last synced: 13 Apr 2025

https://github.com/paulnorthrop/gamlssx

Generalised Additive Extreme Value Models for Location, Scale and Shape

extreme-value-statistics extremes generalized-additive-models regression regression-analysis

Last synced: 16 Apr 2025

https://github.com/paulnorthrop/lax

Loglikelihood Adjustment for Extreme Value Models

clustered-data clusters composite-likelihood evd extreme-value-analysis extreme-value-statistics extremes independence-loglikelihood loglikelihood-adjustment mle pot regression regression-modelling robust sandwich sandwich-estimator

Last synced: 16 Apr 2025

https://github.com/paulnorthrop/lite

Likelihood-Based Inference for Time Series Extremes

clustered extremal-index extreme-value-statistics extremes frequentist generalised-pareto inference likelihood log-likelihood threshold time-series

Last synced: 17 Apr 2025

https://github.com/gosuto-inzasheru/qrm-assignment2

Analysis of a fictive investment portfolio using PCA, copulas and extreme value theory. Second assignment for the Master's course Quantitative Financial Risk Management.

copula extreme-value-statistics pca principal-component-analysis quantitative-finance risk-management