mev: Multivariate Extreme Value Distributions

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

Author
Leo 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 publication
2016-08-24 18:38:38
Maintainer
Leo Belzile <leo.belzile@epfl.ch>
License
GPL-3
Version
1.8.2

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