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GPD? #1
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Hi, Yes, it would be cool. Dev has staged and I would like to retake it but I don't know when it will be possible. If you find the time to make a PR it would be great 😄 |
Hi mate,I have it working with scipy and genpareto to deal with POT.But it is not that good as your gev...
Recently just read a few papers and installed R ismev gev which is quite powerful but unfortunately not python.
CheersIvica
P.S. I can send you my example for case Fremantle gauge station sea level usung POT and gpd (genpareto scipy)
-------- Original message --------From: kikocorreoso <notifications@github.com> Date: 23/9/17 5:23 pm (GMT+08:00) To: kikocorreoso/scikit-extremes <scikit-extremes@noreply.github.com> Cc: Ivica Janekovic <ivica.jan@gmail.com>, Author <author@noreply.github.com> Subject: Re: [kikocorreoso/scikit-extremes] GPD? (#1)
Hi,
Yes, it would be cool. Dev has staged and I would like to retake it but I don't know when it will be possible.
If you find the time to make a PR it would be great 😄
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I've used extRemes in the past. It is robust and powerful. Check it out. But as you said. it is not python. My idea is to provide an easy API to do the most basic univariate extremes but I need to find time to include GPD. |
Hi, I am not able to install this package. I have tried What do you suggest? |
@zizzipupp please, comment here #2 |
Hi, when is the GPD expected to arrive? Currently using extRemes in R but want to switch to python, looking for GPD equivalents :) |
@harshagrao There is not expected date. Maybe this summer I will find some time to work on this but there is no guarantee. If you find some time you can send a PR to include GPD in the library. |
@kikocorreoso Hello Will your GPD have all those plots which you had in gev(QQ plot, pp plot, |
@ivicajan @harshagrao Hello, |
@ivicajan Can you please help me in knowing how can i fit GPD? |
This PR scipy/scipy#9513 could help in the implementation of GPD but it is delayed to review for Scipy v1.4,... I will have a look to try to implement the relevant funcs in the skextreme's utils module in the meantime if I find some bandwidth. |
@kikocorreoso Hello, |
Hi @cosstas Thanks for the link. I've analysed that func from scipy but it is not suitable to do declustering "correctly" (e.g., "correctly" in EVA as it is defined in Coles (2001)). In my message above I've linked new funcs that could be included in scipy in the future. I will check them to see if them can be included directly in skextremes and when they are included in scipy refactor to use them from scipy. |
@kikocorreoso I was just trying to streamline your bandwidth allocation. :) |
@cosstas for me would be paramount to provide functionality to choose the correct data, a declustering function, 'correct' threshold selection, mean residual life plot,... I think all this should be included in the package. Until I do not have this i prefer to delay the inclusion of a GPD fit function because for me it is not independent the POT detection from the GPD fit. The POT detection drives the final GPD fit and I prefer to provide tools to help the user on that 😉 In the meantime, of course, all PRs are 🆗 👌 👍 |
Nice tool
I'm working with extreme values for sea level and would like to compare with my genpareto.fit...
It would bi cool if you could add GPD as well, then more/less you have everything.
thanks!
Ivica
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