Package | Description |
---|---|
dev.nm.stat.evt.evd.univariate | |
dev.nm.stat.evt.evd.univariate.rng | |
dev.nm.stat.evt.function | |
dev.nm.stat.evt.timeseries |
Modifier and Type | Class and Description |
---|---|
class |
FrechetDistribution
The Fréchet distribution is a special case (Type II) of the generalized extreme value
distribution, with \(\xi>0\).
|
class |
GeneralizedEVD
Generalized extreme value (GEV) distribution is a family of continuous probability distributions
developed within extreme value theory to combine the Gumbel, Fréchet and Weibull families
also known as type I, II and III extreme value distributions.
|
class |
GeneralizedParetoDistribution
Generalized Pareto distribution (GPD) is used for modeling exceedances over (or shortfalls below)
a threshold.
|
class |
GumbelDistribution
The Gumbel distribution is a special case (Type I) of the generalized extreme value distribution,
with \(\xi=0\).
|
class |
MaximaDistribution
The distribution of \(M\), where \(M=\max(x_1,x_2,...,x_n)\) and \(x_i\)'s are iid samples drawn
from of a random variable \(X\) with cdf \(F(x)\).
|
class |
MinimaDistribution
The distribution of \(M\), where \(M=\min(x_1,x_2,...,x_n)\) and \(x_i\)'s are iid samples drawn
from of a random variable \(X\) with cdf \(F(x)\).
|
class |
OrderStatisticsDistribution
The asymptotic nondegenerate distributions of the r-th smallest (largest) order statistic.
|
class |
ReversedWeibullDistribution
The Reversed Weibull distribution is a special case (Type III) of the generalized extreme value
distribution, with \(\xi<0\).
|
Constructor and Description |
---|
InverseTransformSamplingEVDRNG(UnivariateEVD dist)
Create an instance with the given extreme value distribution.
|
InverseTransformSamplingEVDRNG(UnivariateEVD dist,
long... seeds)
Create an instance with the given extreme value distribution and seeds for this random number
generator.
|
Constructor and Description |
---|
ReturnLevel(UnivariateEVD evd)
Construct the return level function for a given univariate extreme value distribution.
|
ReturnPeriod(UnivariateEVD evd)
Construct the return period function for a given univariate extreme value distribution.
|
Modifier and Type | Method and Description |
---|---|
UnivariateEVD |
MARMAModel.getDistribution()
Get the univariate extreme value distribution for generating innovations.
|
Constructor and Description |
---|
MARMAModel(double[] AR,
double[] MA,
UnivariateEVD dist)
Create an instance with the AR and MA coefficients, and a GEV distribution for generating
innovations.
|
MARMAModel(UnivariateEVD dist)
Create an instance with a given GEV distribution for generating innovations.
|
MARModel(double[] AR,
UnivariateEVD dist)
Create an instance with the AR coefficients, and a GEV distribution for generating
innovations.
|
MMAModel(double[] MA,
UnivariateEVD dist)
Create an instance with the MA coefficients, and a GEV distribution for generating
innovations.
|
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.