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GLmom: Generalized L-Moments Estimation for Extreme Value Distributions

Provides generalized L-moments estimation methods for the generalized extreme value ('GEV') distribution. Implements both stationary 'GEV' and non-stationary 'GEV11' models where location and scale parameters vary with time. Includes various penalty functions ('Martins'-'Stedinger', Park, Cannon, 'Coles'-Dixon) for shape parameter regularization. Also provides model averaging estimation ('ma.gev') that combines MLE and L-moment methods with multiple weighting schemes for robust high quantile estimation. The 'GLME' methodology is described in Shin et al. (2025a) <doi:10.48550/arXiv.2512.20385>. The non-stationary L-moment method is based on Shin et al. (2025b) <doi:10.1007/s42952-025-00325-3>. The model averaging method is described in Shin et al. (2026) <doi:10.1007/s00477-025-03167-x>. See also 'Hosking' (1990) <doi:10.1111/j.2517-6161.1990.tb01775.x> for L-moments theory and 'Martins' and 'Stedinger' (2000) <doi:10.1029/1999WR900330> for penalized likelihood methods.

Version: 1.3.1
Depends: R (≥ 3.5.0)
Imports: lmomco, nleqslv, stats, methods, robustbase, ismev, Rsolnp, zoo, graphics
Published: 2026-02-27
DOI: 10.32614/CRAN.package.GLmom
Author: Yonggwan Shin ORCID iD [aut, cre], Seokkap Ko ORCID iD [aut, ctb], Jihong Park ORCID iD [ctb], Yire Shin ORCID iD [aut, dtc], Jeong-Soo Park ORCID iD [aut, ths]
Maintainer: Yonggwan Shin <syg.stat at etri.re.kr>
BugReports: https://github.com/sygstat/GLmom/issues
License: GPL (≥ 3)
URL: https://github.com/sygstat/GLmom
NeedsCompilation: no
Citation: GLmom citation info
Materials: NEWS
CRAN checks: GLmom results

Documentation:

Reference manual: GLmom.html , GLmom.pdf

Downloads:

Package source: GLmom_1.3.1.tar.gz
Windows binaries: r-devel: GLmom_1.3.1.zip, r-release: GLmom_1.3.1.zip, r-oldrel: GLmom_1.3.1.zip
macOS binaries: r-release (arm64): GLmom_1.3.1.tgz, r-oldrel (arm64): GLmom_1.3.1.tgz, r-release (x86_64): GLmom_1.3.1.tgz, r-oldrel (x86_64): GLmom_1.3.1.tgz

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.