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.

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)
Version2.3
https://github.com/harrysouthworth/texmex

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...

Files in this package

texmex
texmex/inst
texmex/inst/CITATION
texmex/inst/doc
texmex/inst/doc/declustering.pdf
texmex/inst/doc/egp3.pdf
texmex/inst/doc/texmex1d.pdf
texmex/inst/doc/test_texmex.pdf
texmex/inst/doc/texmexMultivariate.pdf
texmex/tests
texmex/tests/testthat.R
texmex/tests/testthat
texmex/tests/testthat/test-migpd.R
texmex/tests/testthat/test-endPoint.R
texmex/tests/testthat/test-gpdRangeFit.R
texmex/tests/testthat/test-predict.mex.R
texmex/tests/testthat/test-evm.R
texmex/tests/testthat/test-rgpd.R
texmex/tests/testthat/test-plotrl.evm.R
texmex/tests/testthat/test-MCS.R
texmex/tests/testthat/test-log1prel.R
texmex/tests/testthat/test-jointExceedanceCurve.R
texmex/tests/testthat/test-copula.R
texmex/tests/testthat/test-evmBoot.R
texmex/tests/testthat/test-exprel.R
texmex/tests/testthat/test-plot.mex.R
texmex/tests/testthat/test-predict.evmBoot.R
texmex/tests/testthat/test-closures.R
texmex/tests/testthat/test-plot.predict.mex.R
texmex/tests/testthat/test-egp3.R
texmex/tests/testthat/test-qgpd.R
texmex/tests/testthat/test-plot.migpd.R
texmex/tests/testthat/test-rgev.R
texmex/tests/testthat/test-plot.bootmex.R
texmex/tests/testthat/test-migpdCoefs.R
texmex/tests/testthat/test-mrl.R
texmex/tests/testthat/test-pgev.R
texmex/tests/testthat/test-qgev.R
texmex/tests/testthat/test-gpd.info.R
texmex/tests/testthat/test-revTransform.R
texmex/tests/testthat/test-predict.evmOpt.R
texmex/tests/testthat/test-plot.predict.evm.R
texmex/tests/testthat/test-plot.chi.R
texmex/tests/testthat/test-specfun.safe.product.R
texmex/tests/testthat/test-extremalIndex.R
texmex/tests/testthat/test-dgpd.R
texmex/tests/testthat/test-thinAndBurn.evmSim.R
texmex/tests/testthat/test-mexDependence.R
texmex/tests/testthat/test-predict.evmSim.R
texmex/tests/testthat/test-simulate.R
texmex/tests/testthat/test-bootmex.R
texmex/tests/testthat/test-plot.evmOpt.R
texmex/tests/testthat/test-pgpd.R
texmex/tests/testthat/test-chi.R
texmex/tests/testthat/test-mexRangeFit.R
texmex/src
texmex/src/texmex.c
texmex/NAMESPACE
texmex/data
texmex/data/nidd.rda
texmex/data/rain.rda
texmex/data/summer.rda
texmex/data/liver.rda
texmex/data/portpirie.rda
texmex/data/winter.rda
texmex/data/wavesurge.rda
texmex/R
texmex/R/Profile_likelihood_cd_nm_joint_D_KT.R texmex/R/predict.mex.R texmex/R/predictWorkers.R texmex/R/texmexWorkers.R texmex/R/degp3.R texmex/R/ggplot.migpd.R texmex/R/globalVariables.R texmex/R/qegp3.R texmex/R/regp3.R texmex/R/Profile_likelihood_HT_unc.R texmex/R/mex.R texmex/R/texmexFamily.R texmex/R/qgpd.R texmex/R/sombrero-internal.R texmex/R/multivariate.cauchy.R texmex/R/ggplot.predict.R texmex/R/internal-roxygen.R texmex/R/mexRangeFit.R texmex/R/rMaxAR.R texmex/R/special.functions.R texmex/R/egp3RangeFit.R texmex/R/ggplot.mex.R texmex/R/endPoint.R texmex/R/print.mexPrediction.R texmex/R/ggplot.boot.R texmex/R/revTransform.R texmex/R/dgpd.R texmex/R/mexDependenceLowLevelFunctions.R texmex/R/plotrl.evm.R texmex/R/mexTransform.R texmex/R/mexMonteCarlo.R texmex/R/evm.R texmex/R/evmBoot.R texmex/R/constructObject.R texmex/R/coef.evmSim.R texmex/R/summary.migpd.R texmex/R/qgev.R texmex/R/ggplot.thresh.R texmex/R/estimate_HT.R texmex/R/ggplot.evm.R texmex/R/qgpd2.R texmex/R/jointExceedanceCurves.R texmex/R/copulas.R texmex/R/summary.predict.mex.R texmex/R/thinAndBurn.evm.sim.R texmex/R/dgev.R texmex/R/print.migpd.R texmex/R/rgpd.R texmex/R/Dcond.R texmex/R/print.bootmex.R texmex/R/qqevm.R texmex/R/print.evm.R texmex/R/gpd.R texmex/R/plot.mex.R texmex/R/inv_Laplace.R texmex/R/summary.evm.R texmex/R/roots.R texmex/R/hist.evm.R texmex/R/gpd.info.R texmex/R/pgpd.R texmex/R/predict.evm.R texmex/R/migpd.R texmex/R/efficient.closures.R texmex/R/pgev.R texmex/R/mspearman.R texmex/R/gpdRangeFit.R texmex/R/print.evmSim.R texmex/R/plot.bootmex.R texmex/R/bootmex.R texmex/R/plot.evmSim.R texmex/R/texmex-package.R texmex/R/extremalIndex.R texmex/R/coefficients.migpd.R texmex/R/rgev.R texmex/R/plot.predict.link.evm.R texmex/R/mrl.R texmex/R/ppevm.R texmex/R/migpdCoefs.R texmex/R/print.mexDependence.R texmex/R/simulate.R texmex/R/evmFit.R texmex/R/mexDependence.R texmex/R/residuals.evm.R texmex/R/ggplot.bayes.R texmex/R/ggplot.cluster.R texmex/R/plot.mexPrediction.R texmex/R/egp3.R texmex/R/profile_minmax_joint_posneg_KT.R texmex/R/AIC.evm.R texmex/R/estimate_HT_KPT_joint_posneg_nm.R texmex/R/coefficients.evm.R texmex/R/gpd.sandwich.R texmex/R/evm.simSetSeed.R texmex/R/initial_posneg.R texmex/R/evmSim.R texmex/R/Profile_likelihood_cd_nm_joint_D_KT_neg.R texmex/R/pegp3.R texmex/R/gev.R texmex/R/plot.evm.R texmex/R/summary.evmSim.R texmex/R/plot.migpd.R texmex/R/chi.R texmex/R/u2gpd.R
texmex/README.md
texmex/MD5
texmex/DESCRIPTION
texmex/man
texmex/man/plot.evmSim.Rd texmex/man/ggplot.declustered.Rd texmex/man/ggplot.evmOpt.Rd texmex/man/copula.Rd texmex/man/edf.Rd texmex/man/JointExceedanceCurve.Rd texmex/man/mex.Rd texmex/man/simulate.evmOpt.Rd texmex/man/thinAndBurn.Rd texmex/man/airPollution.Rd texmex/man/mexRangeFit.Rd texmex/man/rain.Rd texmex/man/ggplot.evmBoot.Rd texmex/man/plot.evmOpt.Rd texmex/man/mexMonteCarlo.Rd texmex/man/egp3RangeFit.Rd texmex/man/MCS.Rd texmex/man/gpdRangeFit.Rd texmex/man/mexDependence.Rd texmex/man/AIC.evmOpt.Rd texmex/man/evm.Rd texmex/man/rFrechet.Rd texmex/man/bootmex.Rd texmex/man/chi.Rd texmex/man/liver.Rd texmex/man/texmex-package.Rd texmex/man/predict.evmOpt.Rd texmex/man/evmSim.Rd texmex/man/migpdCoefs.Rd texmex/man/evmBoot.Rd texmex/man/dgpd.Rd texmex/man/evmSimSetSeed.Rd texmex/man/logLik.evmOpt.Rd texmex/man/texmexFamily.Rd texmex/man/rl.Rd texmex/man/extremalIndex.Rd texmex/man/ggplot.rl.evmOpt.Rd texmex/man/ggplot.evmSim.Rd texmex/man/migpd.Rd texmex/man/degp3.Rd texmex/man/endPoint.Rd texmex/man/rMaxAR.Rd texmex/man/dgev.Rd texmex/man/addExcesses.Rd texmex/man/mrl.Rd
texmex/CHANGES

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.