GLmom: Generalized L-Moments Estimation for Extreme Value Distributions
Provides generalized L-moments estimation methods for the
generalized extreme value ('GEV') distribution. Implements both stationary
'GEV' and non-stationary 'GEV11' models where location and scale parameters
vary with time. Includes various penalty functions ('Martins'-'Stedinger',
Park, Cannon, 'Coles'-Dixon) for shape parameter regularization.
Also provides model averaging estimation ('ma.gev') that combines MLE and
L-moment methods with multiple weighting schemes for robust high quantile
estimation. The 'GLME' methodology is described in Shin et al. (2025a)
<doi:10.48550/arXiv.2512.20385>. The non-stationary L-moment method
is based on Shin et al. (2025b) <doi:10.1007/s42952-025-00325-3>.
The model averaging method is described in Shin et al. (2026)
<doi:10.1007/s00477-025-03167-x>.
See also 'Hosking' (1990) <doi:10.1111/j.2517-6161.1990.tb01775.x> for
L-moments theory and 'Martins' and 'Stedinger' (2000)
<doi:10.1029/1999WR900330> for penalized likelihood methods.
| Version: |
1.3.1 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
lmomco, nleqslv, stats, methods, robustbase, ismev, Rsolnp, zoo, graphics |
| Published: |
2026-02-27 |
| DOI: |
10.32614/CRAN.package.GLmom (may not be active yet) |
| Author: |
Yonggwan Shin 
[aut, cre],
Seokkap Ko [aut,
ctb],
Jihong Park [ctb],
Yire Shin [aut,
dtc],
Jeong-Soo Park
[aut, ths] |
| Maintainer: |
Yonggwan Shin <syg.stat at etri.re.kr> |
| BugReports: |
https://github.com/sygstat/GLmom/issues |
| License: |
GPL (≥ 3) |
| URL: |
https://github.com/sygstat/GLmom |
| NeedsCompilation: |
no |
| Citation: |
GLmom citation info |
| Materials: |
NEWS |
| CRAN checks: |
GLmom results |
Documentation:
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