evgam: An R Package for Generalized Additive Extreme Value Models
Journal of Statistical Software, 2022 This article introduces the R package evgam. The package provides functions for fitting extreme value distributions. These include the generalized extreme value and generalized Pareto distributions.
Benjamin D. Youngman
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Reliability of Extreme Wind Speeds Predicted by Extreme-Value Analysis
Meteorology, 2023 The reliability of extreme wind speed predictions at large mean recurrence intervals (MRI) is assessed by bootstrapping samples from representative known distributions.
Nicholas John Cook
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Prediction of extreme rainfall with a generalized extreme value distribution [PDF]
Journal of the Korean Data and Information Science Society, 2013 Extreme rainfall causes heavy losses in human life and properties. Hence many works have been done to predict extreme rainfall by using extreme value distributions. In this study, we use a generalized extreme value distribution to derive the posterior predictive density with hierarchical Bayesian approach based on the data of Seoul area from 1973 to ...
Yong Kyu Sung, Joong K. Sohn
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The Topp-Leone generalized extreme value distribution: Extreme value analysis and return level estimation of the PM2.5 in Chiang Mai, Thailand [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2022 In this paper, an extension of the generalized extreme value (GEV) distribution called the Topp Leone-GEV (TL-GEV) distribution is applied. The TL-GEV distribution has four parameters (λ, μ, σ, ξ), and it has the three named sub-models TLGumbel (for ξ =
Sirinapa Aryuyuen, Winai Bodhisuwan
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Bootstrapping Time-Varying Uncertainty Intervals for Extreme Daily Return Periods
International Journal of Financial Studies, 2022 This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data.
Katleho Makatjane, Tshepiso Tsoku
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Smooth tail index estimation [PDF]
, 2007 Both parametric distribution functions appearing in extreme value theory - the generalized extreme value distribution and the generalized Pareto distribution - have log-concave densities if the extreme value index gamma is in [-1,0].
Balabdaoui F. +10 more
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A mixture transmuted generalized extreme value distribution: Definition and properties [PDF]
EPJ Web of ConferencesExtreme events are often described using generalized extreme value models, which are crucial for quantifying their impact. In prior studies, researchers have utilized the quadratic rank transmutation map to construct a comprehensive family of probability
Yang Yu, Sun HongGuang, Xu Zheng
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Modeling Insurance Claims Distribution through Combining Generalized Hyperbolic Skew-t Distribution with Extreme Value Theory [PDF]
تحقیقات مالی, 2016 This paper examines whether combining Generalized Hyperbolic Skew-t distribution, recently introduced in the field of insurance, and Extreme Value Theory (EVT) could result in a modeling of loss function that could model central value as well as extreme ...
Saeed Bajalan +2 more
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Modeling climate extremes using the four-parameter kappa distribution for r-largest order statistics
Weather and Climate Extremes, 2023 Accurate estimation of the T-year return levels of climate extremes using statistical distribution is a critical step in the projection of future climate and in engineering design for disaster response.
Yire Shin, Jeong-Soo Park
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Extreme Value Theory and the Solar Cycle [PDF]
, 2007 We investigate the statistical properties of the extreme events of the solar cycle as measured by the sunspot number. The recent advances in the methodology of the theory of extreme values is applied to the maximal extremes of the time series of sunspots.
A. Asensio Ramos +16 more
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