Uses the multivariate generalized ratio-of-uniforms method to simulate random samples from the posterior distributions commonly encountered in Bayesian extreme value analyses.
The main functions in the revdbayes package are
rpost_rcpp, which simulate random samples from the
posterior distribution of extreme value model parameters using the
from the rust package, respectively. The user chooses the extreme value
model, the prior density for the parameters and provides the data.
There are options to improve the probability of acceptance of the
ratio-of-uniforms algorithm by working with transformation of the model
kgaps_post simulates from the posterior
distribution of the extremal index θ based on the
K-gaps model for threshold interexceedance times of Suveges and Davison
(2010). See also Attalides (2015).
vignette("revdbayes-vignette", package = "revdbayes") for an
overview of the package and
vignette("revdbayes-using-rcpp-vignette", package = "revdbayes")
for an illustration of the improvements in efficiency produced using
the Rcpp package.
See 'vignette("revdbayes-predictive-vignette", package = "revdbayes")'
for an outline of how to use revdbayes to perform posterior predictive
extreme value inference.
Northrop, P. J. (2016). rust: Ratio-of-Uniforms Simulation with Transformation. R package version 1.2.2. https://cran.r-project.org/package=rust.
Suveges, M. and Davison, A. C. (2010) Model misspecification in peaks over threshold analysis, The Annals of Applied Statistics, 4(1), 203-221. http://dx.doi.org/10.1214/09-AOAS292
Attalides, N. (2015) Threshold-based extreme value modelling, PhD thesis, University College London. http://discovery.ucl.ac.uk/1471121/1/Nicolas_Attalides_Thesis.pdf
set_prior to set a prior density for extreme value
kgaps_post to sample from the posterior distribution
for the extremal index.
functions in the
rust package for details of the arguments
that can be passed to
rpost and for the form of the
object (of class "evpost") returned from
rpost, which has the same
structure as an object (of class "ru") returned by
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