ExtremalDep: Extremal Dependence Models

A set of procedures for modeling parametrically and non-parametrically the dependence structure of multivariate extreme-values is provided. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and and Bayesian techniques.

AuthorSimone Padoan[aut, cre] <simone.padoan@unibocconi.it>,Boris Beranger[aut] <borisberanger@gmail.com>, Giulia Marcon[aut] <giulia.marcon@phd.unibocconi.it>
Date of publication2016-11-11 10:27:53
MaintainerSimone Padoan <simone.padoan@unibocconi.it>
LicenseGPL (>= 2)
Version0.0.2
faculty.unibocconi.it/simonepadoan

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Man pages

alik: Approximate likelihood estimation of extremal dependence...

AngDensPlot: 3-D plot of parametric angular densities.

beed: Bernstein Estimation of Extremal Dependence

beed.boot: Bootstrap Resampling and Bernstein Estimation of Extremal...

beed.confband: Nonparametric Bootstrap Confidence Intervals

bp: Univariate and Multivariate Bernstein Polynomials

chi.bsn: Tail dependence coefficient for the skew-normal distirbution

chi.extst: Tail dependence coefficient for the Extremal Skew-$t$ model

CLAY.SALL.PAUL: Weekly maximum wind speed data collected over the CLAY, SALL...

CLOU.CLAY.PAUL: Weekly maximum wind speed data collected over the CLOU, CLAY...

CLOU.CLAY.SALL: Weekly maximum wind speed data collected over the CLOU, CLAY...

CLOU.SALL.PAUL: Weekly maximum wind speed data collected over the CLOU, SALL...

convexity: Convexity Constraint

dens: Angular density and likelihood function for some extremal...

dens_extr_mod: Density of extremal dependence models

desn: Univariate extended skew-normal distribution

dest: Univariate extended skew-t distribution

dmesn: Bivariate and trivariate extended skew-normal distribution

dmest: Bivariate and trivariate extended skew-t distribution

excess.dist.hr: Tail function for parametric models.

excess_pr_extr_mod: Probability of excess for extremal dependence models

exponent_extr_mod: Exponent function of extremal dependence models

exponent.hr: Exponent function for parametric models.

ExtremalDep-internal: Internal functions in the ExtremalDep library

fit_pclik_extr_mod: Fit extremal dependence models using pairwise composite...

Leeds.frechet: 5-dimensional dataset with unit Frechet margins.

madogram: Estimation of the Pickands Dependence Function

matrix.sqrt: Matrix square root.

NSN: Trivariate dataset with unit Frechet margins.

pk.extst: Pickands dependence function for the Extremal Skew-$t$ model.

PNN: Trivariate dataset with unit Frechet margins.

PNNS: A 4-dimensional dataset with unit Frechet margins.

PNS: Trivariate dataset with unit Frechet margins.

pollution: Air quality datasets containing daily maxima of air...

posteriorMCMC: MCMC sampler for parametric spectral measures

prior: Prior parameter distribution for parametric models

proposal: Proposal distribution for parametric models

r_extr_mod: Random number generation for extremal dependence models

Wind: Weekly maximum wind speed data collected over 4 stations...

winterdat: 5-dimensional air quality dataset recorded in Leeds (U.K.),...

Files in this package

ExtremalDep/DESCRIPTION
ExtremalDep/NAMESPACE
ExtremalDep/R
ExtremalDep/R/ApproxBayesian.R ExtremalDep/R/ApproxLikelihood.R ExtremalDep/R/CompRandFld.R ExtremalDep/R/ConfidenceBands.R ExtremalDep/R/ConvexityConstraints.R ExtremalDep/R/Densities.R ExtremalDep/R/Dependence.R ExtremalDep/R/Distributions.R ExtremalDep/R/Distributions_extr_mod.R ExtremalDep/R/Exponent.R ExtremalDep/R/ExtremalDep.R ExtremalDep/R/Madogram.R ExtremalDep/R/PlotDens3d.R ExtremalDep/R/beed.R
ExtremalDep/data
ExtremalDep/data/Wind.rda
ExtremalDep/data/pollution.rda
ExtremalDep/man
ExtremalDep/man/AngDensPlot.Rd ExtremalDep/man/CLAY.SALL.PAUL.Rd ExtremalDep/man/CLOU.CLAY.PAUL.Rd ExtremalDep/man/CLOU.CLAY.SALL.Rd ExtremalDep/man/CLOU.SALL.PAUL.Rd ExtremalDep/man/ExtremalDep-internal.Rd ExtremalDep/man/Leeds.frechet.Rd ExtremalDep/man/NSN.Rd ExtremalDep/man/PNN.Rd ExtremalDep/man/PNNS.Rd ExtremalDep/man/PNS.Rd ExtremalDep/man/Wind.Rd ExtremalDep/man/alik.Rd ExtremalDep/man/beed.Rd ExtremalDep/man/beed.boot.Rd ExtremalDep/man/beed.confband.Rd ExtremalDep/man/bp.Rd ExtremalDep/man/chi.bsn.Rd ExtremalDep/man/chi.extst.Rd ExtremalDep/man/convexity.Rd ExtremalDep/man/dens.Rd ExtremalDep/man/dens_extr_mod.Rd ExtremalDep/man/desn.Rd ExtremalDep/man/dest.Rd ExtremalDep/man/dmesn.Rd ExtremalDep/man/dmest.Rd ExtremalDep/man/excess.dist.hr.Rd ExtremalDep/man/excess_pr_extr_mod.Rd ExtremalDep/man/exponent.hr.Rd ExtremalDep/man/exponent_extr_mod.Rd ExtremalDep/man/fit_pclik_extr_mod.Rd ExtremalDep/man/madogram.Rd ExtremalDep/man/matrix.sqrt.Rd ExtremalDep/man/pk.extst.Rd ExtremalDep/man/pollution.Rd ExtremalDep/man/posteriorMCMC.Rd ExtremalDep/man/prior.Rd ExtremalDep/man/proposal.Rd ExtremalDep/man/r_extr_mod.Rd ExtremalDep/man/winterdat.Rd
ExtremalDep/src
ExtremalDep/src/CompRandFld.c
ExtremalDep/src/Makevars
ExtremalDep/src/cubature.c
ExtremalDep/src/cubature.h
ExtremalDep/src/dependence.c
ExtremalDep/src/distributions.c
ExtremalDep/src/likelihood.c
ExtremalDep/src/rcubature.c

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