Package jdistlib.finance

Class ExtremeValueInference

java.lang.Object

jdistlib.finance.ExtremeValueInference

public final class ExtremeValueInference
extends Object

GEV/GPD fitting, tail-index estimators, return levels, and threshold diagnostics.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final class	ExtremeValueInference.ThresholdDiagnostics

Method Summary

Modifier and Type	Method	Description
static NumericalEstimate	bootstrapReturnLevel(double[] maxima, double periods, int replicates, long seed)
static DistributionFit.Result	fitGev(double[] blockMaxima)
static DistributionFit.Result	fitGevPwm(double[] blockMaxima)	Probability-weighted-moment initialization returned through the common result contract.
static DistributionFit.Result	fitGpd(double[] observations, double threshold)
static NumericalEstimate	hill(double[] observations, int upperOrderStatistics)
static NumericalEstimate	pickands(double[] observations, int k)
static NumericalEstimate	returnLevel(double location, double scale, double shape, double periods)
static ExtremeValueInference.ThresholdDiagnostics	thresholds(double[] observations, double[] thresholds)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

fitGev

public static DistributionFit.Result fitGev(double[] blockMaxima)

fitGevPwm

public static DistributionFit.Result fitGevPwm(double[] blockMaxima)

Probability-weighted-moment initialization returned through the common result contract.

fitGpd

public static DistributionFit.Result fitGpd(double[] observations,
 double threshold)

hill

public static NumericalEstimate hill(double[] observations,
 int upperOrderStatistics)

pickands

public static NumericalEstimate pickands(double[] observations,
 int k)

returnLevel

public static NumericalEstimate returnLevel(double location,
 double scale,
 double shape,
 double periods)

thresholds

public static ExtremeValueInference.ThresholdDiagnostics thresholds(double[] observations,
 double[] thresholds)

bootstrapReturnLevel

public static NumericalEstimate bootstrapReturnLevel(double[] maxima,
 double periods,
 int replicates,
 long seed)