texmex: Statistical Modelling of Extreme Values

Statistical extreme value modelling of threshold excesses, maxima and multivariate extremes. Univariate models for threshold excesses and maxima are the Generalised Pareto, and Generalised Extreme Value model respectively. These models may be fitted by using maximum (optionally penalised-)likelihood, or Bayesian estimation, and both classes of models may be fitted with covariates in any/all model parameters. Model diagnostics support the fitting process. Graphical output for visualising fitted models and return level estimates is provided. For serially dependent sequences, the intervals declustering algorithm of Ferro and Segers is provided, with diagnostic support to aid selection of threshold and declustering horizon. Multivariate modelling is performed via the conditional approach of Heffernan and Tawn, with graphical tools for threshold selection and to diagnose estimation convergence.

Install the latest version of this package by entering the following in R:
AuthorHarry Southworth [aut, cre], Janet E. Heffernan [aut], Paul D. Metcalfe [aut]
Date of publication2016-11-18 19:21:56
MaintainerHarry Southworth <harry.southworth@gmail.com>
LicenseGPL (>= 2)

View on CRAN

Man pages

addExcesses: Annotate a threshold selection ggplot

AIC.evmOpt: Akaike's Information Criterion

airPollution: Air pollution data, separately for summer and winter months

bootmex: Bootstrap a conditional multivariate extreme values model

chi: Measures of extremal dependence

copula: Calculate the copula of a matrix of variables

degp3: Density, cumulative density, quantiles and random number...

dgev: Density, cumulative density, quantiles and random number...

dgpd: Density, cumulative density, quantiles and random number...

edf: Compute empirical distribution function

egp3RangeFit: Estimate the EGP3 distribution power parameter over a range...

endPoint: Calculate upper end point for a fitted extreme value model

evm: Extreme value modelling

evmBoot: Bootstrap an evmOpt fit

evmSim: MCMC simulation around an evmOpt fit

evmSimSetSeed: Set the seed from a fitted evmSim object.

extremalIndex: Extremal index estimation and automatic declustering

ggplot.declustered: Diagnostic plots for an declustered object

ggplot.evmBoot: Diagnostic plots for the replicate estimated parameter values...

ggplot.evmOpt: Diagnostic plots for an evm object

ggplot.evmSim: Diagnostic plots for the Markov chains in an evmSim object

ggplot.rl.evmOpt: Plotting function for return level estimation

gpdRangeFit: Estimate generalized Pareto distribution parameters over a...

JointExceedanceCurve: Joint exceedance curves

liver: Liver related laboratory data

logLik.evmOpt: Log-likelihood for evmOpt objects

MCS: Multivariate conditional Spearman's rho

mex: Conditional multivariate extreme values modelling

mexDependence: Estimate the dependence parameters in a conditional...

mexMonteCarlo: Simulation from dependence models

mexRangeFit: Estimate dependence parameters in a conditional multivariate...

migpd: Fit multiple independent generalized Pareto models

migpdCoefs: Change values of parameters in a migpd object

mrl: Mean residual life plot

plot.evmOpt: Plots for evmOpt objects

plot.evmSim: Plots for evmSim objects

predict.evmOpt: Predict return levels from extreme value models, or obtain...

rain: Rain, wavesurge, portpirie and nidd datasets.

rFrechet: Extreme Value random process generation.

rl: Return levels

rMaxAR: Extreme Value random process generation.

simulate.evmOpt: Simulate from a fitted evm object

texmexFamily: Create families of distributions

texmex-package: Extreme value modelling

thinAndBurn: Process Metropolis output from extreme value model fitting to...


addExcesses Man page
AIC.evmOpt Man page
bootExtremalIndex Man page
bootMCS Man page
bootmex Man page
calcJointExceedanceCurve Man page
chi Man page
coef.evmBoot Man page
copula Man page
declust Man page
declust.default Man page
declust.extremalIndex Man page
degp3 Man page
dgev Man page
dgpd Man page
edf Man page
egp3 Man page
egp3RangeFit Man page
endPoint Man page
endPoint.evmBoot Man page
endPoint.evmOpt Man page
endPoint.evmSim Man page
evm Man page
evmBoot Man page
evm.declustered Man page
evm.default Man page
evmSim Man page
evmSimSetSeed Man page
extremalIndex Man page
extremalIndexRangeFit Man page
geom_jointExcCurve Man page
gev Man page
ggacfplots Man page
ggbootdensplots Man page
ggdensplots Man page
ggplot.bootMCS Man page
ggplot.chi Man page
ggplot.declustered Man page
ggplot.egp3RangeFit Man page
ggplot.evmBoot Man page
ggplot.evmOpt Man page
ggplot.evmOpt, Man page
ggplot.evmSim Man page
ggplot.extremalIndex Man page
ggplot.extremalIndexRangeFit Man page
ggplot.gpdRangeFit Man page
ggplot.hist.evmOpt Man page
ggplot.MCS Man page
ggplot.mex Man page
ggplot.migpd Man page
ggplot.mrl Man page
ggplot.ppevm Man page
ggplot.predict.mex Man page
ggplot.qqevm Man page
ggplotrl Man page
ggplot.rl.evmBoot Man page
ggplot.rl.evmOpt Man page
ggplot.rl.evmSim Man page
ggtraceplots Man page
gpd Man page
gpdRangeFit Man page
JointExceedanceCurve Man page
JointExceedanceCurve.default Man page
JointExceedanceCurve.mexMC Man page
JointExceedanceCurve.predict.mex Man page
linearPredictors Man page
linearPredictors.evmBoot Man page
linearPredictors.evmOpt Man page
linearPredictors.evmSim Man page
liver Man page
logLik.evmOpt Man page
MCS Man page
mex Man page
mexAll Man page
mexDependence Man page
mexMonteCarlo Man page
mexRangeFit Man page
migpd Man page
migpdCoefs Man page
mrl Man page
nidd Man page
pegp3 Man page
pgev Man page
pgpd Man page
plot.bootMCS Man page
plot.bootmex Man page
plot.chi Man page
plot.copula Man page
plot.declustered Man page
plot.egp3RangeFit Man page
plot.evmBoot Man page
plot.evmOpt Man page
plot.evmSim Man page
plot.extremalIndexRangeFit Man page
plot.gpdRangeFit Man page
plot.lp.evmOpt Man page
plot.MCS Man page
plot.mex Man page
plot.migpd Man page
plot.mrl Man page
plot.predict.mex Man page
plot.rl.evmBoot Man page
plot.rl.evmOpt Man page
plot.rl.evmSim Man page
portpirie Man page
predict.evmBoot Man page
predict.evmOpt Man page
predict.evmSim Man page
predict.mex Man page
print.bootMCS Man page
print.bootmex Man page
print.chi Man page
print.copula Man page
print.declustered Man page
print.egp3RangeFit Man page
print.evmBoot Man page
print.extremalIndex Man page
print.gpdRangeFit Man page
print.jointExcCurve Man page
print.lp.evmOpt Man page
print.MCS Man page
print.mex Man page
print.mexList Man page
print.mrl Man page
print.rl.evmOpt Man page
print.summary.bootMCS Man page
print.summary.chi Man page
print.summary.evmBoot Man page
print.summary.gpdRangeFit Man page
print.summary.mex Man page
print.summary.mrl Man page
print.summary.texmexFamily Man page
print.texmexFamily Man page
qgev Man page
qgpd Man page
rain Man page
rain, wavesurge and portpirie Man page
regp3 Man page
rFrechet Man page
rgev Man page
rgpd Man page
rl Man page
rl.evmBoot Man page
rl.evmOpt Man page
rl.evmSim Man page
rMaxAR Man page
simulate.evmBoot Man page
simulate.evmOpt Man page
simulate.evmSim Man page
summary.bootMCS Man page
summary.chi Man page
summary.evmBoot Man page
summary.gpdRangeFit Man page
summary.mex Man page
summary.mrl Man page
summary.predict.mex Man page
summary.texmexFamily Man page
summer Man page
summer and winter data Man page
texmex Man page
texmexFamily Man page
texmex-package Man page
thinAndBurn Man page
thinAndBurn.evmSim Man page
wavesurge Man page
winter Man page


tests/testthat/test-migpd.R tests/testthat/test-endPoint.R tests/testthat/test-gpdRangeFit.R tests/testthat/test-predict.mex.R tests/testthat/test-evm.R tests/testthat/test-rgpd.R tests/testthat/test-plotrl.evm.R tests/testthat/test-MCS.R tests/testthat/test-log1prel.R tests/testthat/test-jointExceedanceCurve.R tests/testthat/test-copula.R tests/testthat/test-evmBoot.R tests/testthat/test-exprel.R tests/testthat/test-plot.mex.R tests/testthat/test-predict.evmBoot.R tests/testthat/test-closures.R tests/testthat/test-plot.predict.mex.R tests/testthat/test-egp3.R tests/testthat/test-qgpd.R tests/testthat/test-plot.migpd.R tests/testthat/test-rgev.R tests/testthat/test-plot.bootmex.R tests/testthat/test-migpdCoefs.R tests/testthat/test-mrl.R tests/testthat/test-pgev.R tests/testthat/test-qgev.R tests/testthat/test-gpd.info.R tests/testthat/test-revTransform.R tests/testthat/test-predict.evmOpt.R tests/testthat/test-plot.predict.evm.R tests/testthat/test-plot.chi.R tests/testthat/test-specfun.safe.product.R tests/testthat/test-extremalIndex.R tests/testthat/test-dgpd.R tests/testthat/test-thinAndBurn.evmSim.R tests/testthat/test-mexDependence.R tests/testthat/test-predict.evmSim.R tests/testthat/test-simulate.R tests/testthat/test-bootmex.R tests/testthat/test-plot.evmOpt.R tests/testthat/test-pgpd.R tests/testthat/test-chi.R tests/testthat/test-mexRangeFit.R
R/Profile_likelihood_cd_nm_joint_D_KT.R R/predict.mex.R R/predictWorkers.R R/texmexWorkers.R R/degp3.R R/ggplot.migpd.R R/globalVariables.R R/qegp3.R R/regp3.R R/Profile_likelihood_HT_unc.R R/mex.R R/texmexFamily.R R/qgpd.R R/sombrero-internal.R R/multivariate.cauchy.R R/ggplot.predict.R R/internal-roxygen.R R/mexRangeFit.R R/rMaxAR.R R/special.functions.R R/egp3RangeFit.R R/ggplot.mex.R R/endPoint.R R/print.mexPrediction.R R/ggplot.boot.R R/revTransform.R R/dgpd.R R/mexDependenceLowLevelFunctions.R R/plotrl.evm.R R/mexTransform.R R/mexMonteCarlo.R R/evm.R R/evmBoot.R R/constructObject.R R/coef.evmSim.R R/summary.migpd.R R/qgev.R R/ggplot.thresh.R R/estimate_HT.R R/ggplot.evm.R R/qgpd2.R R/jointExceedanceCurves.R R/copulas.R R/summary.predict.mex.R R/thinAndBurn.evm.sim.R R/dgev.R R/print.migpd.R R/rgpd.R R/Dcond.R R/print.bootmex.R R/qqevm.R R/print.evm.R R/gpd.R R/plot.mex.R R/inv_Laplace.R R/summary.evm.R R/roots.R R/hist.evm.R R/gpd.info.R R/pgpd.R R/predict.evm.R R/migpd.R R/efficient.closures.R R/pgev.R R/mspearman.R R/gpdRangeFit.R R/print.evmSim.R R/plot.bootmex.R R/bootmex.R R/plot.evmSim.R R/texmex-package.R R/extremalIndex.R R/coefficients.migpd.R R/rgev.R R/plot.predict.link.evm.R R/mrl.R R/ppevm.R R/migpdCoefs.R R/print.mexDependence.R R/simulate.R R/evmFit.R R/mexDependence.R R/residuals.evm.R R/ggplot.bayes.R R/ggplot.cluster.R R/plot.mexPrediction.R R/egp3.R R/profile_minmax_joint_posneg_KT.R R/AIC.evm.R R/estimate_HT_KPT_joint_posneg_nm.R R/coefficients.evm.R R/gpd.sandwich.R R/evm.simSetSeed.R R/initial_posneg.R R/evmSim.R R/Profile_likelihood_cd_nm_joint_D_KT_neg.R R/pegp3.R R/gev.R R/plot.evm.R R/summary.evmSim.R R/plot.migpd.R R/chi.R R/u2gpd.R
man/plot.evmSim.Rd man/ggplot.declustered.Rd man/ggplot.evmOpt.Rd man/copula.Rd man/edf.Rd man/JointExceedanceCurve.Rd man/mex.Rd man/simulate.evmOpt.Rd man/thinAndBurn.Rd man/airPollution.Rd man/mexRangeFit.Rd man/rain.Rd man/ggplot.evmBoot.Rd man/plot.evmOpt.Rd man/mexMonteCarlo.Rd man/egp3RangeFit.Rd man/MCS.Rd man/gpdRangeFit.Rd man/mexDependence.Rd man/AIC.evmOpt.Rd man/evm.Rd man/rFrechet.Rd man/bootmex.Rd man/chi.Rd man/liver.Rd man/texmex-package.Rd man/predict.evmOpt.Rd man/evmSim.Rd man/migpdCoefs.Rd man/evmBoot.Rd man/dgpd.Rd man/evmSimSetSeed.Rd man/logLik.evmOpt.Rd man/texmexFamily.Rd man/rl.Rd man/extremalIndex.Rd man/ggplot.rl.evmOpt.Rd man/ggplot.evmSim.Rd man/migpd.Rd man/degp3.Rd man/endPoint.Rd man/rMaxAR.Rd man/dgev.Rd man/addExcesses.Rd man/mrl.Rd
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