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ExtremeValues.m
README.md

README.md

Mathematica-Extreme-Value-Modelling

Under development

Example

Get["/some/where/ExtremeValues.m"]
data = RandomVariate[MaxStableDistribution[30, 0.3, -0.3], 50];
m = EVModelFit[data]
m["Properties"]
m["PlotDiagnostics"]

TODO

  • ::usage (and other documentation)
  • Time-dependence
  • Pareto (threshold)
  • Friendly interface
  • General touching up (Property renaming etc)

Done

  • Figure out datastructure
  • Probability/Quantile/ReturnLevel plots
  • Confidence intervals based on normal approx
  • Faster deviance statistic confidence interval