ExtremalDep: Extremal Dependence Models

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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.

Author
Simone Padoan[aut, cre] <simone.padoan@unibocconi.it>,Boris Beranger[aut] <borisberanger@gmail.com>, Giulia Marcon[aut] <giulia.marcon@phd.unibocconi.it>
Date of publication
2016-11-11 10:27:53
Maintainer
Simone Padoan <simone.padoan@unibocconi.it>
License
GPL (>= 2)
Version
0.0.2
URLs

View on R-Forge

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