All Questions
Tagged with extreme-value fitting
11 questions
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How do you determine an appropriate block length for calculating "block maxima" for GEV distribution?
I have some time series data spanning 30+ years and I am trying to do some extreme value analysis. Major disclaimer: I am not a statistician so I feel that I am wading into waters beyond my area of ...
- 925
1
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What are arguments against using the (log-)likelihood as a loss function?
Context: My goal is to fit a GEV distribution function to data $z$, where the location parameter is parametrised as linear combination of predictor variables $\mu(\vec{x}) = \mu_0 + \mu_1 x_1 + ...$ (...
- 85
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What do you recommend to see if my data fits Minimum Extreme Value distribution?
I have the following data:
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- 111
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Compare return levels of fitted GPD using MLE in different R packages
This question is related to this post: Different quantiles of a fitted GPD in different R packages?
I want to constraint "potvalues" data to be in a period of 6 years, this is, 16 observations per ...
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5
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3
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Are there theoretical reasons for choosing between similar distributions?
I'm interested in estimating the distributions of a few skewed datasets, for example extreme heat, and extreme rainfall.
There are many distributions that can be fit to these kinds of data, for ...
- 5,541
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2
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Maximum likelihood and Gumbel distribution. Does the likelihood have a global maximum?
It appears to me that if I move the mode $u$ more to the negative and increase the scale parameter $\alpha$, one can get always a higher likelihood. If this is true, is there a limit of the likelihood?...
- 404
2
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0
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135
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Interpret the result of a fitted non-stationary Gumbel model
I have a dataset on wildfires that I fitted to a Gumbel distribution with a set of covariates (using the gevrFit function in the eva package in R). The result of ...
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25
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2
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1k
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Fitting custom distributions by MLE
My question relates to fitting custom distributions in R but I feel it has enough of a probability element to remain on CV.
I have an interesting set of data which has the following characteristics:
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- 2,901
2
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0
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312
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How to train a generalized extreme value model for anomaly detection?
Background
I am building an anomaly detection solution. So far I used the simple z-score (#std from mean) approach. The latter implicitly assumes an underlying stationary Gaussian model. However, the ...
- 461
1
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3
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2k
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Fitting a GEV distribution - non-negative only
I am fitting a GEV distribution to some rainfall data, but the software I am using (Matlab and Easyfit) are giving a distribution which includes negative numbers (i.e. negative rainfall). Is there a ...
- 63
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Fitting of bivariate data to a self-defined probability density function
I have a bivariate set of data points which I want to fit to a self-defined distribution (i.e. not standard normal or chi-square or like that, a different, let's say "new" density function). I would ...
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