ExtremalDep: Extremal Dependence Models
Version 0.0.2

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
URL faculty.unibocconi.it/simonepadoan
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("ExtremalDep", repos="http://R-Forge.R-project.org")

Popular man pages

alik: Approximate likelihood estimation of extremal dependence...
bp: Univariate and Multivariate Bernstein Polynomials
convexity: Convexity Constraint
dens: Angular density and likelihood function for some extremal...
matrix.sqrt: Matrix square root.
PNN: Trivariate dataset with unit Frechet margins.
proposal: Proposal distribution for parametric models
See all...

All man pages Function index File listing

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.),...

Functions

AngDensPlot Man page Source code
CLAY.SALL.PAUL Man page
CLOU.CLAY.PAUL Man page
CLOU.CLAY.SALL Man page
CLOU.SALL.PAUL Man page
Dist2Dist Man page Source code
FitGev Man page Source code
GevLogLik Man page Source code
Leeds.frechet Man page
MomEst Man page Source code
NSN Man page
PNN Man page
PNNS Man page
PNS Man page
Wind Man page
alik Man page Source code
beed Man page Source code
beed.boot Man page Source code
beed.confband Man page Source code
bp Man page Source code
chi.bsn Man page Source code
chi.extst Man page Source code
convexity Man page Source code
dens Man page Source code
dens_extr_mod Man page Source code
desn Man page Source code
dest Man page Source code
dmesn Man page Source code
dmest Man page Source code
excess.dist.hr Man page Source code
excess_pr_extr_mod Man page Source code
exponent.hr Man page Source code
exponent_extr_mod Man page Source code
fit_pclik_extr_mod Man page Source code
madogram Man page Source code
matrix.sqrt Man page Man page Source code
matrix.trace Man page Source code
pesn Man page Source code
pest Man page Source code
pk.extst Man page Source code
pmesn Man page Source code
pmest Man page Source code
pollution Man page
posteriorMCMC Man page Source code
print.Leeds.frechet Man page
print.NSN Man page
print.PNN Man page
print.PNNS Man page
print.PNS Man page
print.excess.dist.hr Man page
print.exponent.hr Man page
print.matrix.sqrt Man page
print.pollution Man page
print.winterdat Man page
prior Man page Source code
proposal Man page Source code
r_extr_mod Man page Source code
winterdat Man page

Files

DESCRIPTION
NAMESPACE
R
R/ApproxBayesian.R
R/ApproxLikelihood.R
R/CompRandFld.R
R/ConfidenceBands.R
R/ConvexityConstraints.R
R/Densities.R
R/Dependence.R
R/Distributions.R
R/Distributions_extr_mod.R
R/Exponent.R
R/ExtremalDep.R
R/Madogram.R
R/PlotDens3d.R
R/beed.R
data
data/Wind.rda
data/pollution.rda
man
man/AngDensPlot.Rd
man/CLAY.SALL.PAUL.Rd
man/CLOU.CLAY.PAUL.Rd
man/CLOU.CLAY.SALL.Rd
man/CLOU.SALL.PAUL.Rd
man/ExtremalDep-internal.Rd
man/Leeds.frechet.Rd
man/NSN.Rd
man/PNN.Rd
man/PNNS.Rd
man/PNS.Rd
man/Wind.Rd
man/alik.Rd
man/beed.Rd
man/beed.boot.Rd
man/beed.confband.Rd
man/bp.Rd
man/chi.bsn.Rd
man/chi.extst.Rd
man/convexity.Rd
man/dens.Rd
man/dens_extr_mod.Rd
man/desn.Rd
man/dest.Rd
man/dmesn.Rd
man/dmest.Rd
man/excess.dist.hr.Rd
man/excess_pr_extr_mod.Rd
man/exponent.hr.Rd
man/exponent_extr_mod.Rd
man/fit_pclik_extr_mod.Rd
man/madogram.Rd
man/matrix.sqrt.Rd
man/pk.extst.Rd
man/pollution.Rd
man/posteriorMCMC.Rd
man/prior.Rd
man/proposal.Rd
man/r_extr_mod.Rd
man/winterdat.Rd
src
src/CompRandFld.c
src/Makevars
src/cubature.c
src/cubature.h
src/dependence.c
src/distributions.c
src/likelihood.c
src/rcubature.c
ExtremalDep documentation built on May 21, 2017, 4:05 a.m.

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