Markov chain Monte Carlo

Algorithm

Bayesian probability

Statistics

Applied mathematics

Generalized extreme value distribution

R package

Computer science

Generalized Pareto distribution

Mathematics

Extreme value theory

Inference

Econometrics

Artificial intelligence

Programming language

Posterior probability

Bayesian inference

Communications in Statistics - Simulation and Computation

The R package, MCMC4Extremes, provides functions which estimate posterior points for extreme-value distributions such as the Generalized Pareto Distribution (GPD), the Generalize Extreme Value (GEV), and the new extension dual Gamma Generalized Extreme Value (GGEV). Inference is performed under the Bayesian paradigm. The Markov chain Monte Carlo (MCMC) method is used to obtain the posterior points. Moreover, the package allows the identification of predictive distributions for the estimated parameters. It performs estimation for return levels plots, and fit measures such as AIC, BIC, and DIC.

MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions