This is a collection of algorithms for Extreme Value Theory.

• univariate distributions:
  • Gumbel
  • Frechet
  • Weibull
  • Generalized EV (GEVD)
  • Generalized Pareto (GPD)
  • maxima
  • minima
  • order statistics
• bivariate distributions:
  • asymmetric logic
  • asymmetric mixed
  • asymmetric negative logistic
  • bilogistic
  • Coles-Tawn
  • Husler-Reiss
  • logistic
  • negative bilogistic
  • negative logistic
• return level and return period
• extremal index estimation
  • Ferro-Seegers algorithm
• cluster analysis
• extreme value markov chain
• extreme value time series, i.e., MARMA(p,q) model
• fitting GEVD by maximum likelihood estimation
• fitting GPD by Peaks-over-Threshold (POT) method
• fitting Gumbel type by Average Conditional Exceedance Rate (ACER) method