Programs for Various Functions and Plots in Extreme Value Theory
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Resource Overview
MATLAB implementation of various functions and graphical representations in extreme value theory, featuring distribution fitting, probability plots, and risk estimation algorithms.
Detailed Documentation
In extreme value theory, various functions and graphical representations can be implemented programmatically. These programs can be developed and executed using MATLAB to enhance the understanding and analysis of extreme value problems. Key implementations include distribution fitting for Generalized Extreme Value (GEV) and Generalized Pareto (GP) distributions, probability-probability (PP) and quantile-quantile (QQ) plots for model validation, and functions for calculating return levels and risk measures. The MATLAB environment provides specialized toolbox functions like `gevfit`, `gpdfit`, and `evplot` for efficient extreme value analysis, along with custom scripting capabilities for tail estimation and threshold selection algorithms.
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