Extreme value analysis deals with extreme events. In engineering, extreme value analysis is used to estimate the maximum wind speed (important for determining the maximum load on structures due to wind), the maximum river discharge or wave height (important information for the design height of dikes), maximum earthquake intensity (important input for structural mechanics), the maximum voltage level, et cetera.
The following code may be used for fitting extreme value models in R. Note, however, that the R code is restricted to the analysis of maxima (or largest values). For mimima (or smallest values) see this R code.
The code focuses on an application of extreme value analysis in the field of engineering, namely obtaining the maximum wind speed.
The code shows how to fit a Gumbel and Weibull distribution for largest values to the wind speed data. Subsequently, the same data will be fitted with a Generalized Extreme Value (or GEV) distribution for maxima. The three extreme value distributions for largest values (i.e., Gumbel, Weibull, and Fréchet distribution) are all family members of the GEV distribution. The code will demonstrate that a GEV model for largest values fits either the Gumbel, Weibull, or Fréchet distribution for maxima.