Package: BMAmevt 1.0.5

BMAmevt: Multivariate Extremes: Bayesian Estimation of the Spectral Measure

Toolkit for Bayesian estimation of the dependence structure in multivariate extreme value parametric models, following Sabourin and Naveau (2014) <doi:10.1016/j.csda.2013.04.021> and Sabourin, Naveau and Fougeres (2013) <doi:10.1007/s10687-012-0163-0>.

Authors:Leo Belzile [cre], Anne Sabourin [aut]

BMAmevt_1.0.5.tar.gz
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manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
BMAmevt/json (API)

# Install 'BMAmevt' in R:

install.packages('BMAmevt', repos = c('https://lbelzile.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/lbelzile/bmamevt/issues

Datasets:

dm.expar.D3k3 - Example of valid Dirichlet mixture parameter for tri-variate extremes.
frechetdat - Multivariate data set with margins following unit Frechet distribution.
Leeds - Tri-variate 'angular' data set approximately distributed according to a multivariate extremes angular distribution
Leeds.frechet - Multivariate data set with margins following unit Frechet distribution.
nl.Hpar - Default hyper-parameters for the NL model.
nl.MCpar - Default MCMC tuning parameter for the Nested Asymmetric logistic model.
pb.Hpar - Default hyper-parameters for the Pairwise Beta model.
pb.MCpar - Default MCMC tuning parameter for the Pairwise Beta model.
winterdat - Five-dimensional air quality dataset recorded in Leeds(U.K.), during five winter seasons.

On CRAN:

3.93 score 17 scripts 330 downloads 51 exports 2 dependencies

Last updated from:14e3eb3d84. Checks:13 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	151
linux-devel-x86_64	OK	122
source / vignettes	OK	159
linux-release-arm64	OK	155
linux-release-x86_64	OK	106
macos-release-arm64	OK	81
macos-release-x86_64	OK	180
macos-oldrel-arm64	OK	83
macos-oldrel-x86_64	OK	279
windows-devel	OK	94
windows-release	OK	71
windows-oldrel	OK	81
wasm-release	OK	96

Exports:add.frame cons.angular.dat ddirimix ddirimix.grid ddirimix.grid1D dgridplot diagnose discretize dnestlog dnestlog.grid dpairbeta dpairbeta.grid excessProb.condit.dm excessProb.condit.nl excessProb.condit.pb excessProb.nl excessProb.pb expfunction.nl invlogit lAccept.ratio laplace.evt logit marginal.lkl marginal.lkl.nl marginal.lkl.pb maxLikelihood MCpriorIntFun MCpriorIntFun.nl MCpriorIntFun.pb posterior.predictive.nl posterior.predictive.pb posterior.predictive3D posteriorDistr.bma posteriorMCMC posteriorMCMC.nl posteriorMCMC.pb posteriorMean posteriorWeights prior.nl prior.pb proposal.nl proposal.pb rdirichlet rdirimix rect.integrate rnestlog rpairbeta rstable.posit scores3D transf.to.equi transf.to.rect

Dependencies:coda lattice

Bayesian Model Averaging for Multivariate Extremes

Overview | Tutorial

Rendered fromBMAmevt.Rnwusingutils::Sweave

Last update: 2023-04-19
Started: 2017-02-22

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Bayesian Model Averaging for Multivariate Extremes	BMAmevt-package BMAmevt
Adds graphical elements to a plot of the two dimensional simplex.	add.frame
Angular data set generation from unit Frechet data.	cons.angular.dat
Angular density/likelihood function in the Dirichlet Mixture model.	ddirimix rdirimix
Plots the Dirichlet mixture density on a discretization grid	ddirimix.grid
Univariate projection or marginalization of a Dirichlet mixture density on on '[0,1]'	ddirimix.grid1D
Image and/or Contour plots of spectral densities in trivariate extreme value models	dgridplot
Diagnostics for the MCMC output in the PB and NL models.	diagnose diagnose.PBNLpostsample
Discretization grid builder.	discretize
Example of valid Dirichlet mixture parameter for tri-variate extremes.	dm.expar.D3k3
Pairwise Beta (PB) and Nested Asymmetric Logistic (NL) distributions	dnestlog dpairbeta rnestlog rpairbeta
PB and NL spectral densities on the two-dimensional simplex	dnestlog.grid dpairbeta.grid
Probability of joint threshold exceedance, in the Dirichlet Mixture model, given a DM parameter.	excessProb.condit.dm
Probability of joint threshold excess in the NL model	excessProb.condit.nl
Posterior distribution the probability of joint threshold excess, in the NL model.	excessProb.nl
Estimates the probability of joint excess (Frechet margins)	excessProb.pb
Exponent function in the NL model.	expfunction.nl
Multivariate data set with margins following unit Frechet distribution.	frechetdat
Inverse logit transformation	invlogit
Laplace approximation of a model marginal likelihood by Laplace approximation.	laplace.evt
Tri-variate 'angular' data set approximately distributed according to a multivariate extremes angular distribution	Leeds
Multivariate data set with margins following unit Frechet distribution.	Leeds.frechet
Logit transformation	logit
Marginal model likelihood	marginal.lkl
Marginal likelihoods of the PB and NL models.	marginal.lkl.nl marginal.lkl.pb
Maximum likelihood optimization	maxLikelihood
Generic Monte-Carlo integration of a function under the prior distribution	MCpriorIntFun
Generic Monte-Carlo integration under the prior distribution in the PB and NL models.	MCpriorIntFun.nl MCpriorIntFun.pb
Default hyper-parameters for the NL model.	nl.Hpar
Default MCMC tuning parameter for the Nested Asymmetric logistic model.	nl.MCpar
Default hyper-parameters for the Pairwise Beta model.	pb.Hpar
Default MCMC tuning parameter for the Pairwise Beta model.	pb.MCpar
Posterior predictive densities in the three dimensional PB, NL and NL3 models	posterior.predictive.nl posterior.predictive.pb
Posterior predictive density on the simplex, for three-dimensional extreme value models.	posterior.predictive3D
Posterior distribution in the average model	posteriorDistr.bma
MCMC sampler for parametric spectral measures	posteriorMCMC
MCMC posterior samplers for the pairwise beta and the negative logistic models.	posteriorMCMC.nl posteriorMCMC.pb
Posterior predictive density on the simplex, for three-dimensional extreme value models.	posteriorMean
Posterior model weights	posteriorWeights
Prior parameter distribution for the NL model	prior.nl
Prior parameter distribution for the Pairwise Beta model	prior.pb
NL3 model: proposal distribution.	proposal.nl
PB model: proposal distribution	proposal.pb
Dirichlet distribution: random generator	rdirichlet
Density integration on the two-dimensional simplex	rect.integrate
Positive alpha-stable distribution.	rstable.posit
Logarithmic score and L^2 distance between two densities on the simplex (trivariate case).	scores3D
Linear coordinate transformations	transf.to.equi transf.to.rect
Five-dimensional air quality dataset recorded in Leeds(U.K.), during five winter seasons.	winterdat