Now showing items 1-4 of 4
R-code for fitting max-linear models via minimum CRPS
(2015-03-09)
This is R-code for fitting max-linear models by minimizing the Continuously Ranked Probability Score.
MATLAB code for the paper "Inference on the endpoint of human lifespan and its inherent statistical difficulty"
(2018-04-06)
We offer an inference methodology for the upper endpoint of a regularly varying distribution with finite endpoint. We apply it to the IDL and GRG data sets of lifespans of supercentenarians. As in the comprehensive analysis ...
R-code for fitting the Gauss-Pareto model to extreme precipitation
(2015-03-09)
This is R-code for fitting a Bayesian hierarchical Gauss-Pareto model to extremes of precipitation over Sweden from 1961-2010. Included is extremes of precipitation data from the Swedish Meteorological and Hydrological ...
R-code for fitting the Tawn-Molchanov max-stable model and computing bounds on VaR-max
(2014-06-20)
This is R-code for fitting the Tawn-Molchanov max-stable model. It contains functions for estimating upper bounds on Value-at-Risk for the maximum portfolio loss.