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mvPot: Multivariate Peaks-over-Threshold Modelling for Spatial Extreme Events
Tools for high-dimensional peaks-over-threshold inference and simulation of Brown-Resnick and extremal Student spatial extremal processes. These include optimization routines based on censored likelihood and gradient scoring, and exact simulation algorithms for max-stable and multivariate Pareto distributions based on rejection sampling. Fast multivariate Gaussian and Student distribution functions using separation-of-variable algorithm with quasi Monte Carlo integration are also provided. Key references include de Fondeville and Davison (2018) <doi:10.1093/biomet/asy026>, Thibaud and Opitz (2015) <doi:10.1093/biomet/asv045>, Wadsworth and Tawn (2014) <doi:10.1093/biomet/ast042> and Genz and Bretz (2009) <doi:10.1007/978-3-642-01689-9>.
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Package details |
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| Author | Raphael de Fondeville [aut] (<https://orcid.org/0000-0002-9439-6872>), Leo Belzile [aut, cre] (<https://orcid.org/0000-0002-9135-014X>), Emeric Thibaud [ctb] (<https://orcid.org/0000-0002-1899-3990>) |
| Maintainer | Leo Belzile <belzilel@gmail.com> |
| License | GPL-2 |
| Version | 0.1.7 |
| URL | https://github.com/r-fndv/mvPot |
| Package repository | View on CRAN |
| Installation |
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