mev: Multivariate Extreme Value Distributions

Exact simulation from max-stable processes and multivariate extreme value distributions for various parametric models. Threshold selection methods.

AuthorLeo Belzile [aut, cre], Jennifer L. Wadsworth [aut], Paul J. Northrop [aut], Scott D. Grimshaw [aut], Jin. Zhang [ctb], Michael A. Stephens [ctb], Art B. Owen [ctb], Anthony C. Davison [ctb], Raphael Huser [aut]
Date of publication2017-02-01 16:46:27
MaintainerLeo Belzile <leo.belzile@epfl.ch>
LicenseGPL-3
Version1.10
https://github.com/lbelzile/mev/

View on CRAN

Man pages

angmeas: Rank-based transformation to angular measure

confint.fr: Confidence intervals for profile likelihood derived from TEM

egp: Extended generalised Pareto families

egp2: Extended generalised Pareto families of Naveau et al. (2016)

egp2.fit: Fit an extended generalized Pareto distribution of Naveau et...

egp2-functions: EGP functions

egp2.G: Carrier distribution for the extended GP distributions of...

egp.fit: Fit of extended GP models and parameter stability plots

egp-function: Extended generalised Pareto families of Papastathopoulos and...

emplik: Self-concordant empirical likelihood for a vector mean

ext.index: Extremal index estimators based on interexceedance time and...

gev: Generalized extreme value distribution

gev.bias: Cox-Snell first order bias expression for the GEV...

gev.Fscore: Firth's modified score equation for the generalized extreme...

gev.infomat: Information matrix for the generalized extreme value...

gev.ll: Log-likelihood for the generalized extreme value distribution

gevr: Generalized extreme value distribution (return level...

gev.retlev: Return level for the generalized extreme value distribution

gevr.infomat: Observed information matrix for GEV distribution (return...

gevr.ll: Negative log-likelihood of the generalized extreme value...

gevr.score: Score of the log-likelihood for the GEV distribution (return...

gevr.temstat: Tangent exponential model statistics for the GEV distribution...

gev.score: Score vector for the generalized extreme value distribution

gev.tem: Tangent exponential model approximation for the GEV...

gev.temstat: Tangent exponential model statistics for the generalized...

gpd: Generalized Pareto distribution

gpd.bcor: Bias correction using Firth's modified score function or bias...

gpd.bias: Cox-Snell first order bias expression for the generalized...

gpde: Generalized Pareto distribution (expected shortfall...

gpde.infomat: Observed information matrix for the GP distribution (expected...

gpde.ll: Negative log-likelihood of the generalized Pareto...

gpde.score: Score vector for the GP distribution (expected shortfall)

gpde.temstat: Tangent exponential model statistics for the generalized...

gpd.Fscore: Firth's modified score equation for the generalized Pareto...

gpd.infomat: Information matrix for the generalized Pareto distribution

gpd.ll: Log-likelihood for the generalized Pareto distribution

gpdr: Generalized Pareto distribution (return level...

gpdr.infomat: Observed information matrix for GP distribution (return...

gpdr.ll: Negative log-likelihood of the generalized Pareto...

gpdr.score: Score of the profile log-likelihood for the GP distribution...

gpdr.temstat: Tangent exponential model statistics for the generalized...

gpd.score: Score vector for the generalized Pareto distribution

gpd.tem: Tangent exponential model approximation for the GP...

gpd.temstat: Tangent exponential model statistics for the generalized...

gp.fit: Peaks-over-threshold modelling using the generalized Pareto...

ibvpot: Interpret bivariate threshold exceedance models

infomat.test: Information matrix test statistic and MLE for the extremal...

mev-package: Multivariate Extreme Value Distributions

mvrnorm: Multivariate Normal distribution sampler

NC.diag: Score and likelihood ratio tests fit of equality of shape...

plot.fr: Plot of tangent exponential model profile likelihood

rdir: Random variate generation for Dirichlet distribution on Sd

rmev: Exact simulations of multivariate extreme value distributions

rmevspec: Random samples from spectral distributions of multivariate...

smith.penult: Smith (1987) penultimate approximations

smith.penult.fn: Smith (1987) third penultimate approximation

spline.corr: Spline correction for Fraser-Reid approximations

W.diag: Wadsworth's univariate and bivariate exponential threshold...

Functions

angmeas Man page
confint.fr Man page
degp2 Man page
degp2.G Man page
egp Man page
egp2 Man page
egp2.fit Man page
egp2-functions Man page
egp2.G Man page
egp.fit Man page
egp.fitrange Man page
egp-function Man page
egp.ll Man page
egp.retlev Man page
emplik Man page
ext.index Man page
gev Man page
gev.bias Man page
gev.dphi Man page
gev.Fscore Man page
gev.infomat Man page
gev.ll Man page
gev.ll.optim Man page
gev.phi Man page
gevr Man page
gevr.dphi Man page
gev.retlev Man page
gevr.infomat Man page
gevr.ll Man page
gevr.ll.optim Man page
gevr.phi Man page
gevr.score Man page
gevr.temstat Man page
gevr.Vfun Man page
gev.score Man page
gev.tem Man page
gev.temstat Man page
gev.Vfun Man page
gpd Man page
gpd.bcor Man page
gpd.bias Man page
gpd.dphi Man page
gpde Man page
gpde.dphi Man page
gpde.infomat Man page
gpde.ll Man page
gpde.ll.optim Man page
gpde.phi Man page
gpde.score Man page
gpde.temstat Man page
gpde.Vfun Man page
gpd.Fscore Man page
gpd.infomat Man page
gpd.ll Man page
gpd.ll.optim Man page
gpd.phi Man page
gpdr Man page
gpdr.dphi Man page
gpdr.infomat Man page
gpdr.ll Man page
gpdr.ll.optim Man page
gpdr.phi Man page
gpdr.score Man page
gpdr.temstat Man page
gpdr.Vfun Man page
gpd.score Man page
gpd.tem Man page
gpd.temstat Man page
gpd.Vfun Man page
gp.fit Man page
ibvpot Man page
infomat.test Man page
mev Man page
mev-package Man page
mvrnorm Man page
NC.diag Man page
pegp2 Man page
pegp2.G Man page
plot.fr Man page
qegp2 Man page
qegp2.G Man page
rdir Man page
regp2 Man page
regp2.G Man page
rmev Man page
rmevspec Man page
smith.penult Man page
smith.penult.fn Man page
spline.corr Man page
W.diag Man page

Files

mev
mev/inst
mev/inst/doc
mev/inst/doc/mev-vignette.pdf
mev/inst/doc/mev-vignette.Rnw
mev/src
mev/src/Makevars
mev/src/gp_bayes.cpp
mev/src/emp_lik.cpp
mev/src/ev_sampling.cpp
mev/src/Makevars.win
mev/src/RcppExports.cpp
mev/NAMESPACE
mev/NEWS
mev/R
mev/R/packageImports.R mev/R/gp.R mev/R/infomat_test.R mev/R/specdens.R mev/R/bias.R mev/R/penultimate.R mev/R/RcppExports.R mev/R/tem.R mev/R/egp.R mev/R/bivpot_methods.R mev/R/rmev_wrapper.R mev/R/Wdiag.R
mev/vignettes
mev/vignettes/mev-vignette-concordance.tex
mev/vignettes/bib.bib
mev/vignettes/mev-vignette.Rnw
mev/MD5
mev/build
mev/build/vignette.rds
mev/DESCRIPTION
mev/man
mev/man/ibvpot.Rd mev/man/gevr.infomat.Rd mev/man/gev.tem.Rd mev/man/egp2.Rd mev/man/rmevspec.Rd mev/man/gev.Rd mev/man/gpd.tem.Rd mev/man/gpdr.Rd mev/man/gpd.temstat.Rd mev/man/gev.bias.Rd mev/man/gpde.score.Rd mev/man/gpde.temstat.Rd mev/man/NC.diag.Rd mev/man/gpde.infomat.Rd mev/man/gpde.Rd mev/man/gevr.ll.Rd mev/man/gpd.bias.Rd mev/man/gev.ll.Rd mev/man/gpd.bcor.Rd mev/man/rdir.Rd mev/man/emplik.Rd mev/man/gpd.Rd mev/man/egp.Rd mev/man/mvrnorm.Rd mev/man/gev.temstat.Rd mev/man/gpdr.temstat.Rd mev/man/smith.penult.Rd mev/man/egp2.fit.Rd mev/man/egp2-functions.Rd mev/man/gpdr.ll.Rd mev/man/ext.index.Rd mev/man/egp.fit.Rd mev/man/confint.fr.Rd mev/man/gpd.Fscore.Rd mev/man/gevr.temstat.Rd mev/man/egp2.G.Rd mev/man/gev.Fscore.Rd mev/man/gevr.Rd mev/man/mev-package.Rd mev/man/gev.score.Rd mev/man/smith.penult.fn.Rd mev/man/gpd.infomat.Rd mev/man/egp-function.Rd mev/man/gpde.ll.Rd mev/man/gpd.score.Rd mev/man/gevr.score.Rd mev/man/plot.fr.Rd mev/man/gev.retlev.Rd mev/man/gpd.ll.Rd mev/man/gpdr.infomat.Rd mev/man/gpdr.score.Rd mev/man/infomat.test.Rd mev/man/W.diag.Rd mev/man/gev.infomat.Rd mev/man/gp.fit.Rd mev/man/angmeas.Rd mev/man/spline.corr.Rd mev/man/rmev.Rd

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