Package: ExtremeConformal
Type: Package
Title: Extreme Conformal Prediction Intervals
Version: 0.2.2
Authors@R: c(person(c("Olivier", "C."), "Pasche", 
                    email = "olivier_pasche@alumni.epfl.ch", role = c("aut", "cre", "cph"),
                    comment = c(ORCID = "0000-0002-1202-9199"))
             )
Description: This new extreme conformal prediction framework provides
        informative prediction intervals at the high-confidence levels
        for which classical conformal methods fail. In applications
        with potentially high-impact events, a very high level of
        confidence is often required for predictions. If that level is
        too large relative to the amount of data used for calibration,
        classical conformal methods provide infinitely wide, thus,
        uninformative prediction intervals. Our extreme conformal
        procedure bridges extreme value statistics and conformal
        prediction to provide reliable and informative prediction
        intervals with high-confidence coverage, which can be
        constructed using any black-box extreme quantile regression
        method. A weighted version of the approach can account for
        nonstationary data. The methodology was introduced in Pasche,
        Lam, and Engelke (2026) <doi:10.1007/s10687-026-00536-9>.
License: GPL (>= 3)
Encoding: UTF-8
Imports: ExtremeCI, extRemes, ismev, stats
Config/roxygen2/version: 8.0.0
URL: https://github.com/opasche/ExtremeConformal,
        https://opasche.github.io/ExtremeConformal/
BugReports: https://github.com/opasche/ExtremeConformal/issues
NeedsCompilation: no
Packaged: 2026-06-24 10:24:30 UTC; root
Author: Olivier C. Pasche [aut, cre, cph] (ORCID:
        <https://orcid.org/0000-0002-1202-9199>)
Maintainer: Olivier C. Pasche <olivier_pasche@alumni.epfl.ch>
Repository: https://cran.r-universe.dev
Date/Publication: 2026-06-24 08:36:33 UTC
RemoteUrl: https://github.com/cran/ExtremeConformal
RemoteRef: HEAD
RemoteSha: 8b6b6f20c2281cb3fc2d610a4a826fd48a92a9ca