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Fiducial framework to perform inference on the quantiles for a generalized Pareto distribution model and on the parameters of the Pareto exceedance distribution, assuming the exceedance threshold is a known or unknown parameter.
Damian V. Wandler & Jan Hannig. Generalized fiducial confidence intervals for extremes. Extremes 15 (2012), pp 67–87.
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.