lax

Performs adjusted inferences based on model objects fitted, using maximum likelihood estimation, by the extreme value analysis packages 'eva' https://cran.r-project.org/package=eva, 'evd' https://cran.r-project.org/package=evd, 'evir' https://cran.r-project.org/package=evir, 'extRemes' https://cran.r-project.org/package=extRemes, 'fExtremes' https://cran.r-project.org/package=fExtremes, 'ismev' https://cran.r-project.org/package=ismev, 'mev' https://cran.r-project.org/package=mev, 'POT' https://cran.r-project.org/package=POT and 'texmex' https://cran.r-project.org/package=texmex. Adjusted standard errors and an adjusted loglikelihood are provided, using the 'chandwich' package https://cran.r-project.org/package=chandwich and the object-oriented features of the 'sandwich' package https://cran.r-project.org/package=sandwich. The adjustment is based on a robust sandwich estimator of the parameter covariance matrix, based on the methodology in Chandler and Bate (2007) doi:10.1093/biomet/asm015. This can be used for cluster correlated data when interest lies in the parameters of the marginal distributions, or for performing inferences that are robust to certain types of model misspecification. Univariate extreme value models, including regression models, are supported.

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