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.

Author
Harry Southworth [aut, cre], Janet E. Heffernan [aut], Paul D. Metcalfe [aut]
Date of publication
2016-11-18 19:21:56
Maintainer
Harry Southworth <harry.southworth@gmail.com>
License
GPL (>= 2)
Version
2.3
URLs

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