Extreme values statistical analysis library

Library of functions for the statistical analysis of extreme values

This library provides many interesting tools for the analysis of extreme events.

1) Basic functions (density function, cumulative distribution function, inverse-cdf, random generator, parameter estimation) for many statistical distributions :

a) Generalized extreme value distribution

b) Gumbel distribution

c) Logistic distribution

d) Normal distribution

e) Uniform distribution

f) Exponential distribution (2 parameters)

g) Generalized logistic distribution

h) Generalized Pareto distribution

i) LogNormal distrubution (with 2 parameters)

j) LogNormal distribution (with 3-parameters)

k) Pearson 3 distribution

l) Log-Pearson 3 distribution

m) Gamma distribution

2) Annual maxima extraction tool from timeseries

3) Choosing the appropriate distribution

4) QQplots

5) Quantiles estimates with confidence interval

6) Akaike Information criterion and log-likelihood function

7) Finding the L-moments of a sample

The Matlab Statistical Toolbox isn't necessary

The fitting of the parameters is based on the L-moment method from Hosking and Wallis (1997) :

Hosking, J., & Wallis, J. (1997). Regional Frequency Analysis: An Approach Based on L-Moments. Cambridge: Cambridge University Press. doi:10.1017/CBO9780511529443