Estimators and analysis for extreme value theory (EVT)
Estimators and analysis for extreme value theory (EVT). The package is structured as follows. Example notebooks are provided as links.
Datasetobject performs sanity-checks and contains plotting routines.
- Generic plots of the dataset.
- Maximum-to-sum plot.
- Mean excess function.
- The peaks over threshold method.
- Plot the tail.
- QQ-plot against exponential.
- The block maxima method.
- Plot block maxima against the dataset.
- Estimators: calculate estimates and confidence intervals. Plotting routines for analysis.
- Hill estimator. Plot against order statistics.
- Moment estimator (Dekkers-Einmahl-De Haan). Plot against order statistics.
- Maximum likelihood for the generalized Pareto distribution. Plot fit quality.
- Maximum likelihood for the generalized extreme value distribution. Plot fit quality.
Releases are made available on PyPi.
The recommended installation method is via
pip install evt
For a development setup, the requirements are in
Subsequently, the repo can be locally
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