texmex-package: Extreme value modelling

In harrysouthworth/texmex: Statistical Modelling of Extreme Values

Extreme value modelling

Description

Extreme values modelling, including the conditional multivariate approach of Heffernan and Tawn (2004).

Details

The package was originally called ‘texmex’ for Threshold EXceedances and Multivariate EXtremes. However, it is no longer the case that only threshold excess models are implemented, so the ‘tex’ bit doesn't make sense. So, the package is called ‘texmex’ because it used to be called ‘texmex’.

evm: Fit extreme value distributions to data, possibly with covariates. Use maximum likelihood estimation, maximum penalized likelihood estimation, simulate from the posterior distribution or run a parametric bootstrap. Extreme value families include the generalized Pareto distribution (gpd) and generalized extreme value (gev) distribution.

mex: Fit multiple, independent generalized Pareto models to the the upper tails of the columns of a data set, and estimate the conditional dependence structure between the columns using the method of Heffernan and Tawn.

bootmex: Bootstrap estimation for parameters in generalized Pareto models and in the dependence structure.

declust: Estimation of extremal index and subsequent declustering of dependent sequences using the intervals estimator of Ferro and Segers.

Author(s)

Harry Southworth, Janet E. Heffernan, Paul D. Metcalfe

Maintainer: Harry Southworth <[e-mail]>

URL: https://github.com/harrysouthworth/texmex

References

J. E. Heffernan and J. A. Tawn, A conditional approach for multivariate extreme values, Journal of the Royal Statistical society B, 66, 497 – 546, 2004.

C.A.T Ferro and J. Segers, Inference for Clusters of Extreme Values, Journal of the Royal Statistical society B, 65, 545 – 556, 2003.

Examples

# Analyse the winter data used by Heffernan and Tawn
mymex <- mex(winter, mqu = .7, penalty="none", dqu=.7, which = "NO")
plot(mymex)
# Only do 10 replicates to keep CRAN checks happy. Do many more in any
# real application
myboot <- bootmex(mymex, R=10)
plot(myboot)
mypred <- predict(myboot,  pqu=.95)
summary(mypred , probs = c( .025, .5, .975 ))

# Analyse the liver data included in the package
library(MASS) # For the rlm function

liver <- liver[liver$ALP.M > 1,] # Get rid of outlier
liver$ndose <- as.numeric(liver$dose)

alt <- resid(rlm(log(ALT.M) ~ log(ALT.B) + ndose, data=liver, method="MM"))
ast <- resid(rlm(log(AST.M) ~ log(AST.B) + ndose, data=liver, method="MM"))
alp <- resid(rlm(log(ALP.M) ~ log(ALP.B) + ndose, data=liver, method="MM"))
tbl <- resid(rlm(log(TBL.M) ~ log(TBL.B) + ndose, data=liver, method="MM"))

r <- data.frame(alt=alt, ast=ast, alp=alp, tbl=tbl)

Amex <- mex(r[liver$dose == "A",], mqu=.7)
Bmex <- mex(r[liver$dose == "B",], mqu=.7)
Cmex <- mex(r[liver$dose == "C",], mqu=.7)
Dmex <- mex(r[liver$dose == "D",], mqu=.7)

par(mfcol=c(3,3))
plot(Amex)

plot(Dmex, col="blue")

## Take a closer look at the marginal behaviour of ALT

r$ndose <- liver$ndose

altmod1 <- evm(alt, qu=.7, phi = ~ ndose, xi = ~ ndose, data=r)
altmod2 <- evm(alt, qu=.7, phi = ~ ndose, data=r)
altmod3 <- evm(alt, qu=.7, xi = ~ ndose, data=r)
altmod4 <- evm(alt, qu=.7, data=r)

# Prefer model 3, with term for xi on basis of AIC

balt3 <- evm(alt, qu=.7, xi = ~ ndose, data=r, method="simulate")
par(mfrow=c(3,3))
plot(balt3)

# use longer burn-in and also thin the output

balt3 <- thinAndBurn(balt3,burn=1000,thin=5)
plot(balt3)

# Get some simulated values for dose D

DParam <- predict(balt3,type="lp",newdata=data.frame(ndose=4),all=TRUE)$obj$link[[1]]

simD <- rgpd(nrow(DParam), sigma=exp(DParam[,"phi"]), xi=DParam[,"xi"], u=quantile(alt, .7))

# These are simulated residuals. Get some baselines and transform all
# to raw scale

b <- sample(log(liver$ALT.M), size=nrow(balt3$param), replace=TRUE)
res <- exp(b + simD)

# estimate quantiles on raw scale
quantile(res, prob=c(.5, .75, .9, .95, .99))

# estimate proportion exceeding 3*upper limit of normal mean(res >
# 36 * 3) # 36 is the upper limit of normal for ALT

harrysouthworth/texmex documentation built on March 8, 2024, 7:50 p.m.