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

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.),...

Functions

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

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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