<b>evgam</b>: An <i>R</i> Package for Generalized Additive Extreme Value Models

extRemes 2.0: An Extreme Value Analysis Package in R

In this paper, we describe a new version (≥ 2.0) of the R (R Core Team 2013) package extRemes (Gilleland and Katz 2011), which is a major redesign from previous versions. Weather and climate applications are the intended focus of the package, although the functions could be used in other applications. The new version of the package is a command-line package for implementing various methods from...

Functional Generalized Additive Models.

We introduce the functional generalized additive model (FGAM), a novel regression model for association studies between a scalar response and a functional predictor. We model the link-transformed mean response as the integral with respect to t of F{X(t), t} where F(·,·) is an unknown regression function and X(t) is a functional covariate. Rather than having an additive model in a finite number ...

KernGPLM – A Package for Kernel-Based Fitting of Generalized Partial Linear and Additive Models

In many cases statisticians are not only required to provide optimal fits or classification results but also to interpret and visualize the fitted curves or discriminant rules. A main issue here is to explain in what way the explanatory variables impact the resulting fit. The R package KernGPLM (currently under development) implements semiparametric extensions to the generalized linear regressi...

Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR) October 2007 Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)

Ait-Sahalia and Lo (2000) and Panigirtzoglou and Skiadopoulos (2004) have argued that Economic VaR (E-VaR), calculated under the option market implied risk neutral density is a more relevant measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, we propose Extreme Economic Value at Risk (EE-VaR) as a new risk measure, based on the General...

Generalized Likelihood Ratio Tests for Additive Models