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ExtremeCI  

Realistic Confidence Intervals for Non-Stationary Extreme Value Statistics
View on CRAN: Click here


Download and install ExtremeCI package within the R console
Install from CRAN:
install.packages("ExtremeCI")

Install from Github:
library("remotes")
install_github("cran/ExtremeCI")

Install by package version:
library("remotes")
install_version("ExtremeCI", "0.2.1")



Attach the package and use:
library("ExtremeCI")
Maintained by
Olivier C. Pasche
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-05-12
Latest Update: 2026-05-12
Description:
This framework provides versatile algorithms to efficiently infer confidence intervals for extreme value statistics, such as extreme quantiles and return levels, that are representative of the asymmetric uncertainty spread, using extreme value theory extrapolation and the profile likelihood (see e.g., Coles (2001) <doi:10.1007/978-1-4471-3675-0>). Unlike existing algorithms, the CI endpoints are found without the need for a strict prespecified range, can be covariate-dependent, and can be based on weighted samples. This package is motivated by Zeder et al. (2023) <doi:10.1029/2023GL104090> and by Pasche et al. (2026) <doi:10.1007/s10687-026-00536-9>.
How to cite:
Olivier C. Pasche (2026). ExtremeCI: Realistic Confidence Intervals for Non-Stationary Extreme Value Statistics. R package version 0.2.1, https://cran.r-project.org/web/packages/ExtremeCI. Accessed 14 Jul. 2026.
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Full ExtremeCI package functions and examples
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