Description Details References See Also

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`

and `rpost_rcpp`

, which simulate random samples from the
posterior distribution of extreme value model parameters using the
functions `ru`

and `ru_rcpp`

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
parameters.

The function `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).

See `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
parameters.

`rpost`

and `rpost_rcpp`

to perform
ratio-of-uniforms sampling from an extreme value posterior distribution.

`kgaps_post`

to sample from the posterior distribution
for the extremal index.

The `ru`

and `ru_rcpp`

functions in the `rust`

package for details of the arguments
that can be passed to `ru`

via `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 `ru`

and
`ru_rcpp`

.

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