In sebastian-engelke/graphicalExtremes: Statistical Methodology for Graphical Extreme Value Models

Graphical Extremes

An implementation of the statistical methodology paper @eng2019 for sparse multivariate extreme value models. Includes exact simulation algorithms and statistical inference methods for multivariate Pareto distributions on graphical structures.

Contains also implementations of statistical methods from @eng2020, @roe2021, @eng2022a, @hen2022, and @engelkeTaeb2024, as well as data sets from @asadi2015 and @hen2022.

Installation

The latest CRAN version can be installed using:

install.packages("graphicalExtremes")

The latest GitHub version can be installed using:

# install.packages("devtools")
devtools::install_github("sebastian-engelke/graphicalExtremes")

References

sebastian-engelke/graphicalExtremes documentation built on Jan. 10, 2025, 10:02 a.m.