graphicalExtremes: Statistical Methodology for Graphical Extreme Value Models

Statistical methodology for sparse multivariate extreme value models. Methods are provided for exact simulation and statistical inference for multivariate Pareto distributions on graphical structures as described in the paper 'Graphical Models for Extremes' by Engelke and Hitz (2020) <doi:10.1111/rssb.12355>.

Package details

AuthorSebastian Engelke [aut, cre], Adrien S. Hitz [aut], Nicola Gnecco [aut], Manuel Hentschel [aut]
MaintainerSebastian Engelke <>
Package repositoryView on CRAN
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graphicalExtremes documentation built on May 29, 2024, 8:35 a.m.