Description
Generalized Fiducial Inference for Extremes.
Description
Fiducial framework to perform inference on the quantiles for a generalized Pareto distribution model and on the parameters of the Pareto exceedance distribution, assuming the exceedance threshold is a known or unknown parameter. Reference: Damian V. Wandler & Jan Hannig (2012) <doi:10.1007/s10687-011-0127-9>.
README.md
gfiExtremes
Fiducial framework to perform inference on the quantiles for a generalized Pareto distribution model and on the parameters of the Pareto exceedance distribution, assuming the exceedance threshold is a known or unknown parameter.
Reference
Damian V. Wandler & Jan Hannig. Generalized fiducial confidence intervals for extremes. Extremes 15 (2012), pp 67–87.