ExtendedExtremes Package
ExtendedExtremes.jl provides a collection of extended Generalized Pareto distributions (EGPD) and related functions. In particular, the extended generalized Pareto distributions described in Gamet & Jalbert (2022) and related methods are implemented, such as:
- Sampling from distributions
- Probability density functions (pdf) and their logarithm (logpdf)
- Cumulative distribution functions (cdf) and their logarithm (logcdf)
- Maximum likelihood estimation
- Diagnostic plots for assessing model accuracy
The ExtendedExtremes.jl library is currently being refactored. The support for extended generalized Pareto families proposed in Naveau et al. (2016) has been abandoned as well as some other functionalities. However, it is still possible to find these abandoned features in ExtendedExtremes.jl v0.1.1.
Reference
Gamet, P. & Jalbert, J. (2022). A flexible extended generalized Pareto distribution for tail estimation. Environmetrics, 33(6), e2744.