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

David Roodman

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 11
Keywords: extreme value theory; maximum likelihood; Pareto distribution; Cox-Snell correction (search for similar items in EconPapers)
Date: 2015-01-18, Revised 2017-12-18
Note: This module should be installed from within Stata by typing "ssc install extreme". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/e/extreme.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/extreme_small.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/extreme_estimate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/extreme_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/extreme.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/extreme.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lextreme.mlib Mata object library (application/x-stata)
http://fmwww.bc.edu/repec/bocode/d/dowjones.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/f/fremantle.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/g/glass.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/p/portpirie.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/r/rain.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/v/venice.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/w/wooster.dta sample data file (application/x-stata)

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