Abstract
This chapter looks at extreme value data analysis as an application of VGLMs/VGAMs. The two most important models (generalized extreme value or GEV distribution, and generalized Pareto distribution or GPD) are shown to be easily amenable to the VGLM/VGAM framework. Some real data examples are given.
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Notes
- 1.
Also known as the extreme value trinity theorem or three types theorem.
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Yee, T.W. (2015). Extremes. In: Vector Generalized Linear and Additive Models. Springer Series in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-2818-7_16
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DOI: https://doi.org/10.1007/978-1-4939-2818-7_16
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