texmex: Threshold exceedences and multivariate extremes

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Conditional multivariate extreme value modelling using the approach of Heffernan and Tawn.

Author
Harry Southworth, Janet E. Heffernan
Date of publication
None
Maintainer
Harry Southworth <harry.southworth@astrazeneca.com>
License
GPL (>=2) | BSD
Version
1.3

View on R-Forge

Man pages

airPollution
Air pollution data, separately for summer and winter months
bgpdSetSeed
Set the seed from a fitted bgpd object.
bootgpd
Parametric bootstrap for generalized Pareto models
bootmex
Bootstrap a conditional multivariate extreme values model
chi
Measures of extremal dependence
copula
Calculate the copula of a matrix of variables
dgpd
Density, cumulative density, quantiles and random number...
edf
Compute empirical distribution function
extremalIndex
Extremal index estimation and automatic declustering
gpd
Generalized Pareto distribution modelling
gpdRangeFit
Estimate generalized Pareto distribution parameters over a...
liver
Liver related laboratory data
MCS
Multivariate conditional Spearman's rho
mex
Conditional multivariate extreme values modelling
mexDependence
Estimate the dependence parameters in a conditional...
mexRangeFit
Estimate dependence parameters in a conditional multivariate...
migpd
Fit multiple independent generalized Pareto models
migpdCoefs
Change values of parameters in a migpd object
mrlPlot
Mean residual life plot
predict.gpd
Predict return levels from Generalized Pareto Distribution...
rain
Rain and wavesurge datasets.
rl
Return levels
texmex-internal
Internal functions for texmex
texmexMethods
Methods for texmex objects
texmex-package
Conditional multivariate extreme values modelling.
thinAndBurn
Process Metropolis output from GPD fitting to discard...
validate.texmex
Validate the texmex package

Files in this package

texmex
texmex/NAMESPACE
texmex/data
texmex/data/liver.rda
texmex/data/rain.rda
texmex/data/summer.rda
texmex/data/winter.rda
texmex/data/wavesurge.rda
texmex/R
texmex/R/mrlPlot.R
texmex/R/print.bootmex.R
texmex/R/plot.mex.R
texmex/R/plot.migpd.R
texmex/R/gpdRangeFit.R
texmex/R/print.bgpd.R
texmex/R/coefficients.migpd.R
texmex/R/plot.bootmex.R
texmex/R/summary.gpd.R
texmex/R/mexTransform.R
texmex/R/plot.mexPrediction.R
texmex/R/hist.gpd.R
texmex/R/migpdCoefs.R
texmex/R/summary.bgpd.R
texmex/R/mspearman.R
texmex/R/rgpd.R
texmex/R/validate.texmex.R
texmex/R/info.gpd.R
texmex/R/print.mexPrediction.R
texmex/R/plot.gpd.R
texmex/R/bootmex.R
texmex/R/plot.bgpd.R
texmex/R/qgpd2.R
texmex/R/print.migpd.R
texmex/R/plotrl.gpd.R
texmex/R/mexRangeFit.R
texmex/R/mexDependenceLowLevelFunctions.R
texmex/R/chi.R
texmex/R/bootgpd.R
texmex/R/dgpd.R
texmex/R/bgpdSetSeed.R
texmex/R/predict.mex.R
texmex/R/plot.predict.link.gpd.R
texmex/R/gpd.R
texmex/R/migpd.R
texmex/R/testingFunctions.R
texmex/R/copulas.R
texmex/R/thinAndBurn.bgpd.R
texmex/R/predict.gpd.R
texmex/R/coefficients.gpd.R
texmex/R/gpd.fit.R
texmex/R/ppgpd.R
texmex/R/print.gpd.R
texmex/R/qgpd.R
texmex/R/revTransform.R
texmex/R/extremalIndex.R
texmex/R/pgpd.R
texmex/R/print.mexDependence.R
texmex/R/u2gpd.R
texmex/R/rMaxAR.R
texmex/R/summary.migpd.R
texmex/R/mex.R
texmex/R/coef.bgpd.R
texmex/R/qqgpd.R
texmex/R/AIC.gpd.R
texmex/R/summary.predict.mex.R
texmex/R/mexDependence.R
texmex/CHANGES
texmex/DESCRIPTION
texmex/man
texmex/man/mexRangeFit.Rd
texmex/man/mex.Rd
texmex/man/validate.texmex.Rd
texmex/man/texmex-package.Rd
texmex/man/extremalIndex.Rd
texmex/man/mexDependence.Rd
texmex/man/bootmex.Rd
texmex/man/rain.Rd
texmex/man/dgpd.Rd
texmex/man/chi.Rd
texmex/man/copula.Rd
texmex/man/mrlPlot.Rd
texmex/man/rl.Rd
texmex/man/migpd.Rd
texmex/man/migpdCoefs.Rd
texmex/man/bgpdSetSeed.Rd
texmex/man/MCS.Rd
texmex/man/texmexMethods.Rd
texmex/man/gpdRangeFit.Rd
texmex/man/edf.Rd
texmex/man/gpd.Rd
texmex/man/thinAndBurn.Rd
texmex/man/airPollution.Rd
texmex/man/bootgpd.Rd
texmex/man/texmex-internal.Rd
texmex/man/liver.Rd
texmex/man/predict.gpd.Rd