Topics in data analysis using R in extreme value theory

Penalva, Helena Alexandra Couceiro Feio  de Almeida; Neves, Manuela; Nunes, Sandra Cristina Dias

http://hdl.handle.net/10400.26/22864

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Authors

Penalva, Helena Alexandra Couceiro Feio de Almeida

Neves, Manuela

Nunes, Sandra Cristina Dias

Abstract(s)

The Statistical Extreme Value Theory has grown gradually from the beginning of the 20th century. Its unquestionable importance in applications was definitely recognized after Gumbel’s book in 1958, Statistics of Extremes. Nowadays there is a wide number of applied sciences where extreme value statistics are largely used. So, accurately modeling extreme events has become more and more important and the analysis requires tools that must be simple to use but also should consider complex statistical models in order to produce valid inferences. To deal with accurate, friendly, free and open-source software is of great value for practitioners and researchers. This paper presents a review of the main steps for initializing a data analysis of extreme values in R environment. Some well documented packages are briefly described and two data sets will be considered for illustrating the use of some functions.