All Questions
Tagged with extreme-value r
52 questions
1
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0
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22
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Convert units, get different results when fitting extreme value distribution with extRemes
I am using the fevd() and lr.test() functions to examine precipitation using the extRemes R ...
- 11
1
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0
answers
87
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Threshold choice for Peaks-Over-Threshold
I'm trying to estimate equivalent performances at different events, using Peaks-Over-Threshold from Extreme Value Theory. The challenge is to find the threshold and preferably with same number of ...
3
votes
1
answer
72
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Does this approach to simulation for survival analysis, of breaking the analysis into deaths versus survivors, appear reasonable?
I've spent last several weeks learning about survival analysis, see one of the last posts at How to simulate variability (errors) in fitting a gamma model to survival data by using a generalized ...
- 827
4
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1
answer
122
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How to simulate variability (errors) in fitting a gamma model to survival data by using a generalized minimum extreme value distribution in R?
As shown below and per the R code at the bottom, I plot a base survival curve for the lung dataset from the survival package ...
- 827
2
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1
answer
52
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How to assign reasonable scale parameters to randomly generated intercepts for the Weibull distribution?
This is a follow-on to post Correctly simulating an extreme value distribution for survival analysis?, as I work towards adaptation of that code to the Weibull distribution. In the below code I ...
- 827
1
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1
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323
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Correctly simulating an extreme value distribution for survival analysis?
In the image and per the code at the bottom of this post, I plot survival curves for the lung dataset from the survival package using a fitted exponential ...
- 827
4
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1
answer
540
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Can we fit extreme value distribution by build-in package?
I try to find a package in R to fit Gumbel distribution by Block Maxima Approach using maximal likelihood function (see here)
$$
G(x; \mu , \sigma)=\exp[-e^{-\frac{x-\mu}{\sigma}}].
$$
The block ...
- 747
1
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0
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82
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Latent variables for spatio-temporal Extreme Value in R [closed]
Latent variables models are often used for spatial extremes modeling
see e.g., Davison, Padoan and
Ribatet. A typical application
use block maxima such as annual maxima of temperature, assumed to ...
- 5,706
0
votes
1
answer
156
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extreme event time series R
I'm new into time series and was wondering if there is some implementation in R for decomposing a time series into 'trend', 'extreme value', 'cyclical' and' error'.
I'm dealing with yearly weather ...
- 1
6
votes
2
answers
433
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Do you need large amounts of data to estimate parameters in extreme value distributions?
There is probably not a hard answer for this, but I am wondering if you need to collect more data when trying to estimate the parameters of generalized pareto distribution well?
The reason I ask is ...
- 99
0
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1
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84
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How can i find out closest lognormal distribution parameters from a GEV distributed data in R
The question is a bit weird so i'll open it up.
So i have a table of return periods for different amounts of rain. The table has been made using GEV distribution on known data and then the mean and ...
4
votes
1
answer
353
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How to extract the shape parameter of a Fréchet fitted model using the R SPREDA package?
I'm trying to follow this post, which fits a Frechet distribution to some wind measurements as follows:
...
- 26.9k
2
votes
0
answers
2k
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How to interpret Hill estimate of tail index
I'm seeking a non-technical explanation of how to interpret the Hill estimate of the tail index for fat-tailed data, and, if possible, some explanation of seemingly contradictory results that ...
- 21
1
vote
1
answer
4k
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How to fit distributions to data in R?
I have 6 sets of Volume(v) & Duration(d) data. I have fitted a quite few distributions to the data such as Weibull, Gamma, Log-Normal, Exponential, GEV, Pareto, Log Logistic, Poisson, and GP. This ...
- 31
1
vote
1
answer
197
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Random Sampling from Farlie-Gumbel-Morgenstern bivariate exponential distribution
I would like to obtain an algorithm for generating iid samples from Farlie-Gumbel-Morgenstern bivariate exponential distribution (as described in the book by Johnson and Kotz as Gumbel's Model II ...
1
vote
1
answer
190
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Finding maximum of quadratic function that depends on other variables
I am trying to fit a model of the following form in R:
yield = solar_rad + I(solar_rad ^ 2)
where each observation is a field and ...
- 141
3
votes
0
answers
555
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Convergence rate of the maximum of Weibull random variables to a Gumbel distribution
Given a sequence of iid samples $X_1, \dots, X_n,$ where each $X_i$ comes from a Weibull distribution with shape parameter $k$ and scale parameter $\lambda$. Then it is a well-known result that the ...
- 93
2
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1
answer
1k
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How to calculate the cumulative distribution function of a GEV distribution when $1+\xi(x-\mu)/\sigma\le0$?
I don't have a stats background let alone one in extreme value theory, and I have what I imagine is a simple question but one I that haven't been able to find the answer to. The cumulative ...
- 21
1
vote
1
answer
52
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Two datasets with same length give different number of extremes
I have two datasets of a given variable x that have the same length, let's say 14600 values in total each one.
I need to extract the extreme observations within ...
- 344
4
votes
1
answer
1k
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m out of n bootstrap implementation in R
I am wishing to estimate the sampling distribution of an extreme order statistic (the sample maximum). The usual nonparametric (n-out-of-n) bootstrap fails miserably in this case.
Chernick (2011) ...
- 1,649
1
vote
1
answer
1k
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what is the correct order of parameters of the GEV dist. for the ks.test in R?
I'm trying to evaluate the ks statistic for the gev distribution with ks.test stat function in R.
I read the help a few times and remained puzzled as to what the order has to be and can't find any ...
- 123
1
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0
answers
551
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return level in non-stationary case using GPD (POT approach)
I'm doing some extreme value analysis, specifically, using a POT-approach and I'm trying to add some covariates to model excesses. Since I'm quite new in extremes, I'd like to ask for some help to ...
- 171
5
votes
1
answer
508
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Maximum Likeilhood estimate of shape parameter of GPD is negative, even though exceedances are positively skewed
I am looking at fitting a Generalized Pareto Distribution (GPD) to extreme events which exceed a certain value threshold for Bilbao waves data.
Selecting threshold at c=7.5, resulting in 154 ...
- 51
2
votes
0
answers
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 ...
- 21
8
votes
1
answer
533
views
Expected minimum distance from a point with varying density
I'm looking at how the expected minimum Euclidean distance between randomly uniform points and the origin changes as we increase the density of random points (points per unit square) around the origin....
- 183
0
votes
1
answer
2k
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maximization of a function with nlminb in R
I know nlminb () takes a function, objective, and finds values for the parameters of this function at which the objective function achieves its minimum value and ...
0
votes
1
answer
170
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maximising a linear model function with unknowns
If i have this linear model
$$Y_{i,t}=\gamma_t(x_i)+v_{i,t}, v_{i,t} \stackrel{iid}{\sim}N(0,\sigma^2), i=1,\ldots,m.$$
$$\gamma_t(x)=\beta_{1,t}+\beta_{2,t}\frac{1-e^{-\lambda x}}{ \lambda x}+ \beta_{...
- 1
1
vote
0
answers
76
views
Fitting a distribution to random variable in R when the data is available for minimum of those random variables
I am new in R. I have the following problem:
I have a dataset which presents the minimum of a set of n random variables (x1, x2,..., xn).
The formula is Min(x1, x2,...,xn) = 1-(1-F(x))^n.
It can be ...
- 11
25
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2
answers
1k
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Fitting custom distributions by MLE
My question relates to fitting custom distributions in R but I feel it has enough of a probability element to remain on CV.
I have an interesting set of data which has the following characteristics:
...
- 2,901
1
vote
1
answer
335
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How to find coefficient that will minimize the distance between few times series
I have 3 time series X1, X2, X3.
I want to find the coefficient (c1, c2) that will minimize the distance between them as follow:
$$MIN\sum\sqrt{(X1-(c1*X2+c2*X3))^2}$$
The constrains are:
$$-1< ...
- 251
1
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0
answers
202
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How to calculate growth rates up and down from a local maxima?
Problem: I am currently doing my Msc-thesis on rodent population dynamics. One of my aims is look at symmetry in oscillation topography. For this I want to calculate the growth rates up and down from ...
- 11
0
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1
answer
234
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optimize a function in presence of NAs values in R
I would like to maximize the funcToOpt in the code.
Description of the data:
wb and X1 are ...
2
votes
1
answer
3k
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Different quantiles of a fitted GPD in different R packages?
I am performing an extreme value analysis for meteorological data, to be precise for precipitation data available in mm/d. I am using a threshold excess approach for estimating the parameters of a ...
- 33
4
votes
2
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955
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R - MLE of modified Champernowne density
I've come across an article (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=704903), in which author wrote about maximum likelihood estimates of parameters in the so called modified Champernowne ...
- 349
6
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0
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1k
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Optimization in R vs Python, constrained, unconstrained and automatic differentiation? [closed]
I am an economics/stat guy who uses quite a bit of optimization (maximum likelihood, simulated maximum likelihood), constrained optimization (mathematical programming w/ equilibrium conditions), ...
- 1,011
5
votes
1
answer
1k
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Compute mode of a quadratic regression with confidence intervals
I have a quadratic regression y against x and I'm interested in the value x where y is the maximum (ymax->x). I can compute x(ymax) but I'm also interested in the standard error or confidence ...
- 1,079
0
votes
1
answer
3k
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Best method to fit a GEV distribution with generalised linear modelling of parameters?
I need to fit a generalised extreme value distribution to my data but I want the ability to perform generalised linear modelling of the parameters, particularly the location. Can anyone recommend the ...
- 1
4
votes
1
answer
590
views
expected lowest value of 10 normally distributed values
Consider 10 values that follow a standard normal distribution. What would you expect to be the lowest value?
I tried to simulate this problem in R. I basically just simulated 100000 standard normal ...
- 311
1
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0
answers
165
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Find trendline for minimum (not mean) values in distribution
I would like to perform something like a linear regression on my distribution of data, but I'm interested in a trendline that estimates the minimum, not mean, value for each time bin. I'd like to do ...
- 125
1
vote
1
answer
1k
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What is loc parameter in GPD distribution in POT package for R?
I fitted the Generalized Pareto distribution (GPD) using the POT package in R.
The fitted object provides shape and scale ...
- 131
5
votes
1
answer
3k
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What do I need to consider when using the Hessian to compute S.E.'s?
I use optim() in R to do a lot of MLE. I've used the approach for a lot of problems, but the one I'm working on right now consists of fitting the parameters of the generalized extreme value ...
- 958
3
votes
0
answers
1k
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Confidence intervals for extreme value distributions
I have wind data that i'm using to perform extreme value analysis (calculate return levels). I'm using R with packages 'evd', 'extRemes' and 'ismev'.
I'm fitting GEV, Gumbel and Weibull distributions,...
- 951
3
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0
answers
818
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Random Forest Regression - Coping with extreme values [duplicate]
I'm not sure if I used the concept "extreme values" right. Anyhow, I'm trying to produce a model that estimates maximum tree heights / $\text{km}^2$. I have a database of around 24000 points ($\text{...
- 3,875
0
votes
1
answer
7k
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Finding the correlation of every row and column between 2 matrices in R, then taking the max and min values
I'm using R, and I need to find the correlation between every row and column of matrix A and B (ex: the correlation between the 1st row of matrix A and 1st column of matrix B, 2nd row of matrix A and ...
- 1
15
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1
answer
10k
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Finding local extrema of a density function using splines
I am trying to find the local maxima for a probability density function (found using R's density method). I cannot do a simple "look around neighbors" method (where ...
- 373
3
votes
1
answer
1k
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Uniform distribution & generation of extreme values in R
I'd like to generate a new point which should be uniformly distributed on the interval [a, b) (i.e. including the left extreme value - a and exluding the right extreme value - b). The ...
- 286
5
votes
1
answer
1k
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How to apply Mahalanobis weighted regression in R?
Some research has shown that in linear regression applications the Mahalanobis distance approach can be used to perform regressions that lower the influence of outliers. The idea is that in the ...
- 3,091
1
vote
1
answer
27k
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How to get expectation (E-value) for a dataset? [closed]
For an examination, scores for 10 students (all from class 4B) were obtained. I want to convert each score to E-value.
If I understand correctly, to calculate E-value I have to determine an ...
- 611
3
votes
2
answers
2k
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Is my data fit "extreme value distribution" or "normal distribution"?
I have a large data.frame in R. I would like to double if its distribution fit normal distribution or extreme value distribution better
Here is my simplified data.frame.
...
- 31
9
votes
1
answer
3k
views
The code variable in the nlm() function
In R there is a function nlm() which carries out a minimization of a function f using the Newton-Raphson algorithm. In particular, that function outputs the value of the variable code defined as ...
- 22.4k