paulnorthrop/revdbayes: Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis

Provides functions for the Bayesian analysis of extreme value models. The 'rust' package <> is used to simulate a random sample from the required posterior distribution. The functionality of 'revdbayes' is similar to the 'evdbayes' package <>, which uses Markov Chain Monte Carlo ('MCMC') methods for posterior simulation. Also provided are functions for making inferences about the extremal index, using the K-gaps model of Suveges and Davison (2010) <doi:10.1214/09-AOAS292>. Also provided are d,p,q,r functions for the Generalised Extreme Value ('GEV') and Generalised Pareto ('GP') distributions that deal appropriately with cases where the shape parameter is very close to zero.

Getting started

Package details

LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
paulnorthrop/revdbayes documentation built on Sept. 15, 2020, 5:48 p.m.