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]

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BMAmevt.pdf |BMAmevt.html✨
BMAmevt/json (API)

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

Peer review:

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

Datasets:
  • 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.
  • dm.expar.D3k3 - Example of valid Dirichlet mixture parameter for tri-variate extremes.
  • frechetdat - 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:

3.90 score 16 scripts 262 downloads 51 exports 2 dependencies

Last updated 2 years agofrom:14e3eb3d84. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 06 2024
R-4.5-win-x86_64OKNov 06 2024
R-4.5-linux-x86_64OKNov 06 2024
R-4.4-win-x86_64OKNov 06 2024
R-4.4-mac-x86_64OKNov 06 2024
R-4.4-mac-aarch64OKNov 06 2024
R-4.3-win-x86_64OKNov 06 2024
R-4.3-mac-x86_64OKNov 06 2024
R-4.3-mac-aarch64OKNov 06 2024

Exports:add.framecons.angular.datddirimixddirimix.gridddirimix.grid1Ddgridplotdiagnosediscretizednestlogdnestlog.griddpairbetadpairbeta.gridexcessProb.condit.dmexcessProb.condit.nlexcessProb.condit.pbexcessProb.nlexcessProb.pbexpfunction.nlinvlogitlAccept.ratiolaplace.evtlogitmarginal.lklmarginal.lkl.nlmarginal.lkl.pbmaxLikelihoodMCpriorIntFunMCpriorIntFun.nlMCpriorIntFun.pbposterior.predictive.nlposterior.predictive.pbposterior.predictive3DposteriorDistr.bmaposteriorMCMCposteriorMCMC.nlposteriorMCMC.pbposteriorMeanposteriorWeightsprior.nlprior.pbproposal.nlproposal.pbrdirichletrdirimixrect.integraternestlogrpairbetarstable.positscores3Dtransf.to.equitransf.to.rect

Dependencies:codalattice

Bayesian Model Averaging for Multivariate Extremes

Rendered fromBMAmevt.Rnwusingutils::Sweaveon Nov 06 2024.

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

Readme and manuals

Help Manual

Help pageTopics
Bayesian Model Averaging for Multivariate ExtremesBMAmevt-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 gridddirimix.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 modelsdgridplot
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) distributionsdnestlog dpairbeta rnestlog rpairbeta
PB and NL spectral densities on the two-dimensional simplexdnestlog.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 modelexcessProb.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 transformationinvlogit
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 distributionLeeds
Multivariate data set with margins following unit Frechet distribution.Leeds.frechet
Logit transformationlogit
Marginal model likelihoodmarginal.lkl
Marginal likelihoods of the PB and NL models.marginal.lkl.nl marginal.lkl.pb
Maximum likelihood optimizationmaxLikelihood
Generic Monte-Carlo integration of a function under the prior distributionMCpriorIntFun
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 modelsposterior.predictive.nl posterior.predictive.pb
Posterior predictive density on the simplex, for three-dimensional extreme value models.posterior.predictive3D
Posterior distribution in the average modelposteriorDistr.bma
MCMC sampler for parametric spectral measuresposteriorMCMC
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 weightsposteriorWeights
Prior parameter distribution for the NL modelprior.nl
Prior parameter distribution for the Pairwise Beta modelprior.pb
NL3 model: proposal distribution.proposal.nl
PB model: proposal distributionproposal.pb
Dirichlet distribution: random generatorrdirichlet
Density integration on the two-dimensional simplexrect.integrate
Positive alpha-stable distribution.rstable.posit
Logarithmic score and L^2 distance between two densities on the simplex (trivariate case).scores3D
Linear coordinate transformationstransf.to.equi transf.to.rect
Five-dimensional air quality dataset recorded in Leeds(U.K.), during five winter seasons.winterdat