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maxstablePCA: Apply a PCA Like Procedure Suited for Multivariate Extreme Value Distributions
Dimension reduction for multivariate data of extreme events with a PCA like procedure as described in Reinbott, Janßen, (2024), <doi:10.48550/arXiv.2408.10650>. Tools for necessary transformations of the data are provided.
Getting started
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Package details |
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| Author | Felix Reinbott [aut, cre] |
| Maintainer | Felix Reinbott <felix.reinbott@ovgu.de> |
| License | MIT + file LICENSE |
| Version | 0.1.1 |
| Package repository | View on CRAN |
| Installation |
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