Package: evmix 2.12

Carl Scarrott

evmix: Extreme Value Mixture Modelling, Threshold Estimation and Boundary Corrected Kernel Density Estimation

The usual distribution functions, maximum likelihood inference and model diagnostics for univariate stationary extreme value mixture models are provided. Kernel density estimation including various boundary corrected kernel density estimation methods and a wide choice of kernels, with cross-validation likelihood based bandwidth estimator. Reasonable consistency with the base functions in the 'evd' package is provided, so that users can safely interchange most code.

Authors:Carl Scarrott, Yang Hu and Alfadino Akbar, University of Canterbury

evmix_2.12.tar.gz
evmix_2.12.tar.gz(r-4.5-noble)evmix_2.12.tar.gz(r-4.4-noble)
evmix_2.12.tgz(r-4.4-emscripten)evmix_2.12.tgz(r-4.3-emscripten)
evmix.pdf |evmix.html✨
evmix/json (API)

# Install 'evmix' in R:
install.packages('evmix', repos = 'https://cloud.r-project.org')

On CRAN:

Conda:r-evmix-2.12(2025-03-25)

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.85 score 2 stars 7 packages 1.7k downloads 366 exports 3 dependencies

Last updated 6 years agofrom:881298df04. Checks:1 OK, 2 NOTE. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 04 2025
R-4.5-linuxNOTEMar 04 2025
R-4.4-linuxNOTEMar 04 2025

Exports:bckdenxbeta1bckdenxbeta2bckdenxcopulabckdenxcutnormbckdenxgamma1bckdenxgamma2bckdenxreflectbckdenxrenormbckdenxsimplecheck.bcmethodcheck.controlcheck.design.knotscheck.inputncheck.kbwcheck.kernelcheck.kinputscheck.logiccheck.ncheck.nncheck.nparamcheck.offsetcheck.optimcheck.paramcheck.phiucheck.posparamcheck.probcheck.quantcheck.textcvpsdendbckdendbckdengpddbckdengpdcondbetagpddbetagpdconddwmdensplotdgammagpddgammagpdcondgkgdgkgcondgngdgngcondgpddhpddhpdconditmgngditmnormgpdditmweibullgpddkdendkdengpddkdengpdcondlognormgpddlognormgpdcondmgammadmgammagpddmgammagpdcondnormgpddnormgpdcondpsdendpsdengpddweibullgpddweibullgpdconevmix.diagfbckdenfbckdengpdfbckdengpdconfbetagpdfbetagpdconfdwmfgammagpdfgammagpdconfgkgfgkgconfgngfgngconfgpdfhpdfhpdconfitmgngfitmnormgpdfitmweibullgpdfkdenfkdengpdfkdengpdconflognormgpdflognormgpdconfmgammafmgammagpdfmgammagpdconfnormgpdfnormgpdconfpsdenfpsdengpdfweibullgpdfweibullgpdconhillplotiwlspsdenka0ka1ka2kbwkdbiweightkdcosinekdenxkdepanechnikovkdgaussiankdoptcosinekdparzenkdtriangularkdtricubekdtriweightkduniformkdzklambdakpbiweightkpcosinekpepanechnikovkpgaussiankpoptcosinekpparzenkptriangularkptricubekptriweightkpuniformkpzlbckdenlbckdengpdlbckdengpdconlbetagpdlbetagpdconldwmlgammagpdlgammagpdconlgkglgkgconlgnglgngconlgpdlhpdlhpdconlitmgnglitmnormgpdlitmweibullgpdlkdenlkdengpdlkdengpdconllognormgpdllognormgpdconlmgammalmgammagpdlmgammagpdconlnormgpdlnormgpdconlpsdenlpsdengpdlweibullgpdlweibullgpdconmrlplotnlbckdennlbckdengpdnlbckdengpdconnlbetagpdnlbetagpdconnldwmnlEMmgammanlEMmgammagpdnlEMmgammagpdconnleuitmgngnleuitmnormgpdnleuitmweibullgpdnlgammagpdnlgammagpdconnlgkgnlgkgconnlgngnlgngconnlgpdnlhpdnlhpdconnlitmgngnlitmnormgpdnlitmweibullgpdnlkdennlkdengpdnlkdengpdconnllognormgpdnllognormgpdconnlmgammanlmgammagpdnlmgammagpdconnlnormgpdnlnormgpdconnlpsdennlpsdengpdnlubckdengpdnlubckdengpdconnlubetagpdnlubetagpdconnluEMmgammagpdnluEMmgammagpdconnlugammagpdnlugammagpdconnlugkgnlugkgconnlugngnlugngconnluhpdconnlukdengpdnlukdengpdconnlulognormgpdnlulognormgpdconnlumgammagpdnlumgammagpdconnlunormgpdnlunormgpdconnlupsdengpdnluweibullgpdnluweibullgpdconnlweibullgpdnlweibullgpdconpbckdenpbckdengpdpbckdengpdconpbckdenxbeta1pbckdenxbeta2pbckdenxcopulapbckdenxcutnormpbckdenxgamma1pbckdenxgamma2pbckdenxlogpbckdenxnnpbckdenxreflectpbckdenxrenormpbckdenxsimplepbetagpdpbetagpdconpdwmpgammagpdpgammagpdconpgkgpgkgconpgngpgngconpgpdphpdphpdconpickandsplotpitmgngpitmnormgpdpitmweibullgpdpkdenpkdengpdpkdengpdconpkdenxplognormgpdplognormgpdconpmgammapmgammagpdpmgammagpdconpnormgpdpnormgpdconpplotppsdenppsdengpdprofleuitmgngprofleuitmnormgpdprofleuitmweibullgpdproflubckdengpdproflubckdengpdconproflubetagpdproflubetagpdconproflugammagpdproflugammagpdconproflugkgproflugkgconproflugngproflugngconprofluhpdconproflukdengpdproflukdengpdconproflulognormgpdproflulognormgpdconproflumgammagpdproflumgammagpdconproflunormgpdproflunormgpdconproflupsdengpdprofluweibullgpdprofluweibullgpdconpscountspweibullgpdpweibullgpdconpxbqbckdenqbckdengpdqbckdengpdconqbetagpdqbetagpdconqdwmqgammagpdqgammagpdconqgbgmixqgbgmixprimeqgkgqgkgconqgngqgngconqgpdqhpdqhpdconqitmgngqitmnormgpdqitmweibullgpdqkdenqkdengpdqkdengpdconqlognormgpdqlognormgpdconqmgammaqmgammagpdqmgammagpdconqmixqmixprimeqnormgpdqnormgpdconqplotqpsdenqpsdengpdqweibullgpdqweibullgpdconrbckdenrbckdengpdrbckdengpdconrbetagpdrbetagpdconrdwmrgammagpdrgammagpdconrgkgrgkgconrgngrgngconrgpdrhpdrhpdconritmgngritmnormgpdritmweibullgpdrkdenrkdengpdrkdengpdconrlognormgpdrlognormgpdconrlplotrmgammarmgammagpdrmgammagpdconrnormgpdrnormgpdconrpsdenrpsdengpdrweibullgpdrweibullgpdcontcplottscaleplottshapeplot

Dependencies:gslMASSSparseM

Citation

To cite evmix in publications use:

Hu Y, Scarrott C (2018). “evmix: An R package for Extreme Value Mixture Modeling, Threshold Estimation and Boundary Corrected Kernel Density Estimation.” Journal of Statistical Software, 84(5), 1–27. doi:10.18637/jss.v084.i05.

Corresponding BibTeX entry: 

  @Article{,
    title = {{evmix}: An {R} package for Extreme Value Mixture
      Modeling, Threshold Estimation and Boundary Corrected Kernel
      Density Estimation},
    author = {Yang Hu and Carl Scarrott},
    journal = {Journal of Statistical Software},
    year = {2018},
    volume = {84},
    number = {5},
    pages = {1--27},
    doi = {10.18637/jss.v084.i05},
  }

Readme and manuals

Help Manual

Help pageTopics
Extreme Value Mixture Modelling, Threshold Estimation and Boundary Corrected Kernel Density Estimationevmix-package evmix
Boundary Corrected Kernel Density Estimation Using a Variety of Approachesbckden dbckden pbckden qbckden rbckden
Boundary Corrected Kernel Density Estimate and GPD Tail Extreme Value Mixture Modelbckdengpd dbckdengpd pbckdengpd qbckdengpd rbckdengpd
Boundary Corrected Kernel Density Estimate and GPD Tail Extreme Value Mixture Model With Single Continuity Constraintbckdengpdcon dbckdengpdcon pbckdengpdcon qbckdengpdcon rbckdengpdcon
Beta Bulk and GPD Tail Extreme Value Mixture Modelbetagpd dbetagpd pbetagpd qbetagpd rbetagpd
Beta Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintbetagpdcon dbetagpdcon pbetagpdcon qbetagpdcon rbetagpdcon
Internal functions for checking function input argumentscheck.bcmethod check.control check.design.knots check.inputn check.logic check.n check.nn check.nparam check.offset check.optim check.param check.phiu check.posparam check.prob check.quant check.text checking
Dynamically Weighted Mixture Modelddwm dwm pdwm qdwm rdwm
Diagnostic Plots for Extreme Value Mixture Modelsdensplot evmix.diag pplot qplot rlplot
Cross-validation MLE Fitting of Boundary Corrected Kernel Density Estimation Using a Variety of Approachesfbckden lbckden nlbckden
MLE Fitting of Boundary Corrected Kernel Density Estimate for Bulk and GPD Tail Extreme Value Mixture Modelfbckdengpd lbckdengpd nlbckdengpd nlubckdengpd proflubckdengpd
MLE Fitting of Boundary Corrected Kernel Density Estimate for Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintfbckdengpdcon lbckdengpdcon nlbckdengpdcon nlubckdengpdcon proflubckdengpdcon
MLE Fitting of beta Bulk and GPD Tail Extreme Value Mixture Modelfbetagpd lbetagpd nlbetagpd nlubetagpd proflubetagpd
MLE Fitting of beta Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintfbetagpdcon lbetagpdcon nlbetagpdcon nlubetagpdcon proflubetagpdcon
MLE Fitting of Dynamically Weighted Mixture Modelfdwm ldwm nldwm
MLE Fitting of Gamma Bulk and GPD Tail Extreme Value Mixture Modelfgammagpd lgammagpd nlgammagpd nlugammagpd proflugammagpd
MLE Fitting of Gamma Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintfgammagpdcon lgammagpdcon nlgammagpdcon nlugammagpdcon proflugammagpdcon
MLE Fitting of Kernel Density Estimate for Bulk and GPD for Both Tails Extreme Value Mixture Modelfgkg lgkg nlgkg nlugkg proflugkg
MLE Fitting of Kernel Density Estimate for Bulk and GPD for Both Tails with Single Continuity Constraint at Both Thresholds Extreme Value Mixture Modelfgkgcon lgkgcon nlgkgcon nlugkgcon proflugkgcon
MLE Fitting of Normal Bulk and GPD for Both Tails Extreme Value Mixture Modelfgng lgng nlgng nlugng proflugng
MLE Fitting of Normal Bulk and GPD for Both Tails with Single Continuity Constraint at Both Thresholds Extreme Value Mixture Modelfgngcon lgngcon nlgngcon nlugngcon proflugngcon
MLE Fitting of Generalised Pareto Distribution (GPD)fgpd lgpd nlgpd
MLE Fitting of Hybrid Pareto Extreme Value Mixture Modelfhpd lhpd nlhpd
MLE Fitting of Hybrid Pareto Extreme Value Mixture Model with Single Continuity Constraintfhpdcon lhpdcon nlhpdcon nluhpdcon profluhpdcon
MLE Fitting of Normal Bulk and GPD for Both Tails Interval Transition Mixture Modelfitmgng litmgng nleuitmgng nlitmgng nluitmgng profleuitmgng profluitmgng
MLE Fitting of Normal Bulk and GPD Tail Interval Transition Mixture Modelfitmnormgpd litmnormgpd nleuitmnormgpd nlitmnormgpd nluitmnormgpd profleuitmnormgpd profluitmnormgpd
MLE Fitting of Weibull Bulk and GPD Tail Interval Transition Mixture Modelfitmweibullgpd litmweibullgpd nleuitmweibullgpd nlitmweibullgpd nluitmweibullgpd profleuitmweibullgpd profluitmweibullgpd
Cross-validation MLE Fitting of Kernel Density Estimator, With Variety of Kernelsfkden lkden nlkden
MLE Fitting of Kernel Density Estimate for Bulk and GPD Tail Extreme Value Mixture Modelfkdengpd lkdengpd nlkdengpd nlukdengpd proflukdengpd
MLE Fitting of Kernel Density Estimate for Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintfkdengpdcon lkdengpdcon nlkdengpdcon nlukdengpdcon proflukdengpdcon
MLE Fitting of log-normal Bulk and GPD Tail Extreme Value Mixture Modelflognormgpd llognormgpd nllognormgpd nlulognormgpd proflulognormgpd
MLE Fitting of log-normal Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintflognormgpdcon llognormgpdcon nllognormgpdcon nlulognormgpdcon proflulognormgpdcon
MLE Fitting of Mixture of Gammas Using EM Algorithmfmgamma lmgamma nlEMmgamma nlmgamma
MLE Fitting of Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture Model using the EM algorithm.fmgammagpd lmgammagpd nlEMmgammagpd nlmgammagpd nluEMmgammagpd nlumgammagpd proflumgammagpd
MLE Fitting of Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraint using the EM algorithm.fmgammagpdcon lmgammagpdcon nlEMmgammagpdcon nlmgammagpdcon nluEMmgammagpdcon nlumgammagpdcon proflumgammagpdcon
MLE Fitting of Normal Bulk and GPD Tail Extreme Value Mixture Modelfnormgpd lnormgpd nlnormgpd nlunormgpd proflunormgpd
MLE Fitting of Normal Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintfnormgpdcon lnormgpdcon nlnormgpdcon nlunormgpdcon proflunormgpdcon
MLE Fitting of P-splines Density Estimatorcvpsden fpsden iwlspsden lpsden nlpsden
MLE Fitting of P-splines Density Estimate for Bulk and GPD Tail Extreme Value Mixture Modelfpsdengpd lpsdengpd nlpsdengpd nlupsdengpd proflupsdengpd
MLE Fitting of Weibull Bulk and GPD Tail Extreme Value Mixture Modelfweibullgpd lweibullgpd nluweibullgpd nlweibullgpd profluweibullgpd
MLE Fitting of Weibull Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintfweibullgpdcon lweibullgpdcon nluweibullgpdcon nlweibullgpdcon profluweibullgpdcon
Gamma Bulk and GPD Tail Extreme Value Mixture Modeldgammagpd gammagpd pgammagpd qgammagpd rgammagpd
Gamma Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintdgammagpdcon gammagpdcon pgammagpdcon qgammagpdcon rgammagpdcon
Kernel Density Estimate and GPD Both Upper and Lower Tails Extreme Value Mixture Modeldgkg gkg pgkg qgkg rgkg
Kernel Density Estimate and GPD Both Upper and Lower Tails Extreme Value Mixture Model With Single Continuity Constraint at Bothdgkgcon gkgcon pgkgcon qgkgcon rgkgcon
Normal Bulk with GPD Upper and Lower Tails Extreme Value Mixture Modeldgng gng pgng qgng rgng
Normal Bulk with GPD Upper and Lower Tails Extreme Value Mixture Model with Single Continuity Constraint at Thresholdsdgngcon gngcon pgngcon qgngcon rgngcon
Generalised Pareto Distribution (GPD)dgpd gpd pgpd qgpd rgpd
Hill Plothillplot
Hybrid Pareto Extreme Value Mixture Modeldhpd hpd phpd qhpd rhpd
Hybrid Pareto Extreme Value Mixture Model with Single Continuity Constraintdhpdcon hpdcon phpdcon qhpdcon rhpdcon
Internal Functionsbckdenxbeta1 bckdenxbeta2 bckdenxcopula bckdenxcutnorm bckdenxgamma1 bckdenxgamma2 bckdenxreflect bckdenxrenorm bckdenxsimple internal kdenx pbckdenxbeta1 pbckdenxbeta2 pbckdenxcopula pbckdenxcutnorm pbckdenxgamma1 pbckdenxgamma2 pbckdenxlog pbckdenxnn pbckdenxreflect pbckdenxrenorm pbckdenxsimple pkdenx pscounts pxb qgbgmix qgbgmixprime qmix qmixprime
Normal Bulk with GPD Upper and Lower Tails Interval Transition Mixture Modelditmgng itmgng pitmgng qitmgng ritmgng
Normal Bulk and GPD Tail Interval Transition Mixture Modelditmnormgpd itmnormgpd pitmnormgpd qitmnormgpd ritmnormgpd
Weibull Bulk and GPD Tail Interval Transition Mixture Modelditmweibullgpd itmweibullgpd pitmweibullgpd qitmweibullgpd ritmweibullgpd
Kernel Density Estimation, With Variety of Kernelsdkden kden pkden qkden rkden
Kernel Density Estimate and GPD Tail Extreme Value Mixture Modeldkdengpd kdengpd pkdengpd qkdengpd rkdengpd
Kernel Density Estimate and GPD Tail Extreme Value Mixture Model With Single Continuity Constraintdkdengpdcon kdengpdcon pkdengpdcon qkdengpdcon rkdengpdcon
Kernel functionskdbiweight kdcosine kdepanechnikov kdgaussian kdoptcosine kdparzen kdtriangular kdtricube kdtriweight kduniform kdz kernels kpbiweight kpcosine kpepanechnikov kpgaussian kpoptcosine kpparzen kptriangular kptricube kptriweight kpuniform kpz
Various subsidiary kernel function, conversion of bandwidths and evaluating certain kernel integrals.check.kbw check.kernel check.kinputs ka0 ka1 ka2 kbw kfun klambda
Log-Normal Bulk and GPD Tail Extreme Value Mixture Modeldlognormgpd lognormgpd plognormgpd qlognormgpd rlognormgpd
Log-Normal Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintdlognormgpdcon lognormgpdcon plognormgpdcon qlognormgpdcon rlognormgpdcon
Mixture of Gammas Distributiondmgamma mgamma pmgamma qmgamma rmgamma
Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture Modeldmgammagpd mgammagpd pmgammagpd qmgammagpd rmgammagpd
Mixture of Gammas Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintdmgammagpdcon mgammagpdcon pmgammagpdcon qmgammagpdcon rmgammagpdcon
Mean Residual Life Plotmrlplot
Normal Bulk and GPD Tail Extreme Value Mixture Modeldnormgpd normgpd pnormgpd qnormgpd rnormgpd
Normal Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintdnormgpdcon normgpdcon pnormgpdcon qnormgpdcon rnormgpdcon
Pickands Plotpickandsplot
P-Splines probability density functiondpsden ppsden psden qpsden rpsden
P-Splines Density Estimate and GPD Tail Extreme Value Mixture Modeldpsdengpd ppsdengpd psdengpd qpsdengpd rpsdengpd
Parameter Threshold Stability Plotstcplot tscaleplot tshapeplot
Weibull Bulk and GPD Tail Extreme Value Mixture Modeldweibullgpd pweibullgpd qweibullgpd rweibullgpd weibullgpd
Weibull Bulk and GPD Tail Extreme Value Mixture Model with Single Continuity Constraintdweibullgpdcon pweibullgpdcon qweibullgpdcon rweibullgpdcon weibullgpdcon