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 publication2016-08-24 18:38:38
MaintainerLeo Belzile <leo.belzile@epfl.ch>
LicenseGPL-3
Version1.8.2

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...

Files in this package

mev
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/README.md
mev/MD5
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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