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ExtremalDep: Extremal Dependence Models
A set of procedures for parametric and non-parametric modelling of the dependence structure of multivariate extreme-values is provided. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and Bayesian techniques. It adapts the methodologies of Beranger and Padoan (2015) <arxiv:1508.05561>, Marcon et al. (2016) <doi:10.1214/16-EJS1162>, Marcon et al. (2017) <doi:10.1002/sta4.145>, Marcon et al. (2017) <doi:10.1016/j.jspi.2016.10.004> and Beranger et al. (2021) <doi:10.1007/s10687-019-00364-0>. This package also allows for the modelling of spatial extremes using flexible max-stable processes. It provides simulation algorithms and fitting procedures relying on the Stephenson-Tawn likelihood as per Beranger at al. (2021) <doi:10.1007/s10687-020-00376-1>.
Getting started
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Package details |
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| Author | Boris Beranger [aut], Simone Padoan [cre, aut], Giulia Marcon [aut], Steven G. Johnson [ctb] (Author of included cubature fragments), Alec G. Stephenson [ctb], Anne Sabourin [ctb] (Author of included BMAmevt fragments) |
| Maintainer | Simone Padoan <simone.padoan@unibocconi.it> |
| License | GPL (>= 2) |
| Version | 0.0.4-0 |
| URL | https://faculty.unibocconi.it/simonepadoan/ |
| Package repository | View on R-Forge |
| Installation |
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