greta-dev/greta

extreme value distributions module

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#67 opened on May 28, 2017

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help wantedmodule

Description

As per @TonyLadson's request in #1 distributions for extreme value modelling would be useful. These would be best placed in a module (though admittedly the boundary between general distributions and extreme value distributions is blurry).

Specific requests include:

  • GEV
  • Gumbel
  • Gumbel type B
  • Pearson III
  • Log Pearson III
  • Generalised pareto

Like the already implemented distributions, these should all have a reference R implementation, where possible from a widely used package and preferably all the same package. evd looks like it has the best combination of consistency and scope, and appears to be widely used (judging by download stats from cranlogs).

This is not currently at the top of my to do list, but I would be really keen to support someone else in developing this module!

Contributor guide

Tech stack
r
Domain
datamachine learning
Issue type
feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
3-5 days
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
stale
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
clear
Prerequisites
Rextreme value distributionsgreta package
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
70
Research direction
First, study the existing distribution implementations in the greta package (e.g., normal, gamma) to understand the pattern and API. Then, review the evd package's documentation and source code to see how GEV, Gumbel, Pearson III, and generalized Pareto are implemented. The issue requests that all distributions be based on evd for consistency. The maintainer @goldingn has offered support, so feel free to ask questions on the issue. Specific files to examine: the R/ directory in the greta repo for distribution implementations.