# ExtremeStats

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### contributors    This package provides a set of tools for analysing and estimating extreme value distributions. It defines two types, `BlockMaxima` and `PeakOverThreshold`, which can be used to filter a collection of values into a collection of maxima.

Given a collection of maxima produced by either model above, one can start estimating heavy-tail distributions and plotting classical extreme value statistics.

## Installation

Get the latest stable release with Julia's package manager:

``````] add ExtremeStats
``````

## Usage

Given a collection of values `xs` (e.g. time series), one can retrieve its maxima:

``````using ExtremeStats

# find maxima with blocks of size 50
bm = BlockMaxima(xs, 50)

# get values above a threshold of 100.
pm = PeakOverThreshold(xs, 100.)
``````

For the block maxima model, the values `xs` need to represent a measurement over time, whereas the peak over threshold model does not assume any ordering in the data. Both models are lazy, and the maxima are only returned via a `collect` call.

### Plotting

A few plot recipes are defined for maxima as well as for the original values `xs`:

``````using Plots

# mean excess plot
excessplot(xs)

# Pareto quantile plot
paretoplot(xs)

# return level plot
returnplot(xs)
``````

### Fitting

Generalized extreme value (GEV) and generalized Pareto (GP) distributions from the `Distributions.jl` package can be fit to maxima via constrained optimization (maximum likelihood + extreme value index constraints):

``````using Distributions

# fit GEV to block maxima
fit(GeneralizedExtremeValue, bm)

# fit GP to peak over threshold
fit(GeneralizedPareto, pm)
``````

### Statistics

A few statistics are defined:

``````# return statistics
returnlevels(xs)

# mean excess with previous k values
meanexcess(xs, k)
``````

## References

The book An Introduction to Statistical Modeling of Extreme Values by Stuart Coles gives a practical introduction to the theory. Most other books I've encountered are too theoretical or expose topics that are somewhat disconnected.

02/09/2018

8 days ago

84 commits