IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this software component

EXTREME: Stata module to fit models used in univariate extreme value theory

Listed author(s):
  • David Roodman

    ()

extreme estimates the most-used models in univariate extreme value theory, using Maximum Likelihood: the generalized Pareto distribution (GPD), which is appropriate for modeling exceedances of a threshold; the generalized extreme value distribution (GEV), which is appropriate for modeling block maxima; and the extension of the GEV for multiple order statistics for blocks. extreme also provides a variety of diagnostic and profile plots. extreme's major novelty is the ability to compute the Cox-Snell small-sample bias correction for all models fit. The correction for the GPD is derived in Giles, Feng, and Godwin (2015). The correction for the GEV, including for multiple order statistics, is new. The correction is also extended to non-stationary models. Maximum Likelihood is always biased in finite samples, and the bias can be significant in the small samples often used in extreme value analysis.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://fmwww.bc.edu/repec/bocode/e/extreme.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/e/extreme_small.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/e/extreme_estimate.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/e/extreme_p.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/e/extreme.mata
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/e/extreme.sthlp
File Function: help file
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/l/lextreme.mlib
File Function: Mata object library
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/d/dowjones.dta
File Function: sample data file
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/f/fremantle.dta
File Function: sample data file
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/g/glass.dta
File Function: sample data file
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/p/portpirie.dta
File Function: sample data file
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/r/rain.dta
File Function: sample data file
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/v/venice.dta
File Function: sample data file
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/w/wooster.dta
File Function: sample data file
Download Restriction: no

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457953.

as
in new window

Size:
Programming language: Stata
Requires: Stata version 11
Date of creation: 18 Jan 2015
Date of revision: 18 May 2017
Handle: RePEc:boc:bocode:s457953
Note: This module should be installed from within Stata by typing "ssc install extreme". Windows users should not attempt to download these files with a web browser.
Contact details of provider: Postal:
Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA

Phone: 617-552-3670
Fax: +1-617-552-2308
Web page: http://fmwww.bc.edu/EC/
Email:


More information through EDIRC

Order Information: Web: http://repec.org/docs/ssc.php

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s457953. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.