README.md

In lbelzile/demoroutines: Functions for 'Extremal attractor of Liouville copulas'

ExtLiouv

Miscellaneous functions for Extremal attractors of Liouville copulas

Some utilities for pairwise composite likelihood estimation of unstructured Husler-Reiss and extremal Student models (both are experimental until further notice).

• fmvcpot performs pairwise composite likelihood estimation and returns a list with estimated values. It handles missing values in the observation matrix.
• compositemat: Godambe information matrix and the variability matrix can be obtained by means of a nonparametric boostrap using the function .

Also included are exponent measures for the scaled Dirichlet extreme value distribution, - fscore for gradient score estimation for the class of scaled Dirichlet models, - specdens for the spectral density - isAbove, a function that returns a logical matrix indicating whether observations exceed marginally a given threshold vector

Installation

The package is currently under development and is NOT available from CRAN. The current syntax is subject to changes and some functions may be ported to the package mev in due time.

To install from Github, run

devtools::install_github("lbelzile/ExtLiouv")

after installing devtools.

lbelzile/demoroutines documentation built on May 20, 2019, 8:28 p.m.