Package: mev 2.2.0004

mev: Modelling of Extreme Values

Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes (Dombry, Engelke and Oesting, 2016, <doi:10.1093/biomet/asw008>, R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, <doi:10.1093/biomet/ast042>) and Extremal Student (Thibaud and Opitz, 2015, <doi:10.1093/biomet/asv045>). Threshold selection methods, including Wadsworth (2016) <doi:10.1080/00401706.2014.998345>, and Northrop and Coleman (2014) <doi:10.1007/s10687-014-0183-z>. Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) <doi:10.1007/978-1-4471-3675-0>.

Authors:Leo Belzile [aut, cre], Jennifer L. Wadsworth [aut], Paul J. Northrop [aut], Raphael Huser [aut], Scott D. Grimshaw [aut], Jin Zhang [ctb], Michael A. Stephens [ctb], Art B. Owen [ctb]

mev_2.2.0004.tar.gz
mev_2.2.0004.zip(r-4.7)mev_2.2.0004.zip(r-4.6)mev_2.2.0004.zip(r-4.5)
mev_2.2.0004.tgz(r-4.6-x86_64)mev_2.2.0004.tgz(r-4.6-arm64)mev_2.2.0004.tgz(r-4.5-x86_64)mev_2.2.0004.tgz(r-4.5-arm64)
mev_2.2.0004.tar.gz(r-4.7-arm64)mev_2.2.0004.tar.gz(r-4.7-x86_64)mev_2.2.0004.tar.gz(r-4.6-arm64)mev_2.2.0004.tar.gz(r-4.6-x86_64)
mev_2.2.0004.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
mev/json (API)

# Install 'mev' in R:

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

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

Pkgdown/docs site:https://lbelzile.github.io

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3
openmp– GCC OpenMP (GOMP) support library

Datasets:

abisko - Abisko rainfall
cheeseborowind - Cheeseboro wind speed data
eskrain - Eskdalemuir Observatory Daily Rainfall
frwind - French wind data
geomagnetic - Magnetic storms
leedspollution - Leeds air pollution
maiquetia - Maiquetia Daily Rainfall
nidd - River Nidd Flow
nutrients - Nutrient data
pandemics - Deaths from pandemics
thames - Thames river flow at Kingston
venice - Venice Sea Levels
w1500m - Best 200 times of Women 1500m Track

On CRAN:

extreme-value-statistics likelihood-functions max-stable simulation threshold-selection openblas cpp openmp

9.73 score 15 stars 5 packages 118 scripts 5.3k downloads 4 mentions 230 exports 14 dependencies

Last updated from:cf9e807288. Checks:11 ERROR, 2 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	ERROR	241
linux-devel-x86_64	ERROR	245
source / vignettes	OK	293
linux-release-arm64	ERROR	233
linux-release-x86_64	ERROR	231
macos-release-arm64	ERROR	199
macos-release-x86_64	ERROR	296
macos-oldrel-arm64	ERROR	177
macos-oldrel-x86_64	ERROR	353
windows-devel	ERROR	231
windows-release	ERROR	268
windows-oldrel	ERROR	254
wasm-release	OK	148

Exports:.fit.gpd.rob .gev.postpred .gpd_2D_fit adf angextrapo angmeas angmeasdir automrl build.blocks clikmgp cvselect degp dextgp dextgp.G dgeoaniso dgev dgp distg egp.fit egp.fitrange egp.ll egp.pll egp.retlev egp2.fit emplik expme ext.index extcoef extremo fit.egp fit.extgp fit.gev fit.gevblock fit.gpd fit.pp fit.rho fit.rlarg fit.shape fit.wgpd gev.abias gev.bcor gev.bias gev.boot gev.dphi gev.Fscore gev.infomat gev.ll gev.ll.optim gev.mle gev.Nyr gev.phi gev.pll gev.retlev gev.score gev.tem gev.Vfun gevblock.ll gevN.dphi gevN.infomat gevN.ll gevN.mean gevN.phi gevN.score gevN.Vfun gevr.dphi gevr.infomat gevr.ll gevr.ll.optim gevr.phi gevr.score gevr.Vfun gp.fit gpd.abias gpd.bcor gpd.bias gpd.boot gpd.dphi gpd.Fscore gpd.infomat gpd.ll gpd.ll.optim gpd.lmom gpd.mle gpd.phi gpd.pll gpd.score gpd.tem gpd.Vfun gpde.dphi gpde.infomat gpde.ll gpde.ll.optim gpde.phi gpde.score gpde.Vfun gpdN.dphi gpdN.infomat gpdN.ll gpdN.mean gpdN.phi gpdN.quant gpdN.score gpdN.Vfun gpdr.dphi gpdr.infomat gpdr.ll gpdr.ll.optim gpdr.phi gpdr.score gpdr.Vfun gpdtopar ibvpot infomat.test intensBR intensXstud jac_gpd_pareto kjtail Lambda2cov lambdadep likmgp maxstable maxstabtest mgp.cll mgp.ll mvrnorm NC.diag pegp penultimate pextgp pextgp.G pgev pgp PickandsXU power.vario powerexp.cor pp.infomat pp.ll pp.score qegp qextgp qextgp.G qgev qgp qqplot.blocksize qqplot.unif qweissman rdir regp rextgp rextgp.G rgev rgp rgparp rho.dk rho.fagh rho.gbw rho.ghp rlarg.infomat rlarg.ll rlarg.score rmar1 rmev rmevspec rmnorm rparp rparpcs rparpcshr rrlarg schlather.vario scoreindep shape.erm shape.genjack shape.genquant shape.hill shape.lthill shape.moment shape.osz shape.pickands shape.rbm shape.trimhill shape.vries smith.penult smith.penult.fn spline.corr spunif stein_gp_lik Stein_weights taildep tem.corr test.blocksize test.maxstab test.scoreindep test.unif thselect.alrs thselect.bab thselect.cbm thselect.cv thselect.egp thselect.expgqt thselect.gbw thselect.goks thselect.ksmd thselect.mdps thselect.mrl thselect.ncpgp thselect.pec thselect.pickands thselect.rbm thselect.samsee thselect.sdinfo thselect.vmetric thselect.wcvm thselect.wseq tstab.cv tstab.egp tstab.gpd tstab.hill tstab.lthill tstab.mrl W.diag xacf xasym xdep.asym xdep.chi xdep.chibar xdep.eta xdep.pickands xdep.tpdm xdep.xcoef xdep.xindex

Dependencies:alabama codetools digest future future.apply globals listenv nleqslv numDeriv parallelly Rcpp RcppArmadillo Rsolnp truncnorm

Exact unconditional sampling from max-stable random vectors

Rendered frommev-vignette.Rmdusingknitr::rmarkdown

Last update: 2024-07-09
Started: 2024-07-09

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Abisko rainfall	abisko
Estimation of the bivariate angular dependence function	adf
Rank-based transformation to angular measure	angmeas
Dirichlet mixture smoothing of the angular measure	angmeasdir
Compute block maxima and order them by block	build.blocks
Cheeseboro wind speed data	cheeseborowind
Confidence intervals for profile likelihood objects	confint.eprof
Distance matrix with geometric anisotropy	dgeoaniso
Extended generalised Pareto families	egp
Profile log likelihood for extended generalized Pareto models	egp.pll
Extended generalized Pareto distribution	degp egpdist pegp qegp regp
Self-concordant empirical likelihood for a vector mean	emplik
Eskdalemuir Observatory Daily Rainfall	eskrain
Exponent measure for multivariate generalized Pareto distributions	expme
Extended generalised Pareto families of Naveau et al. (2016)	extgp
Carrier distribution for the extended GP distributions of Naveau et al.	extgp.G
Parameter stability plot and maximum likelihood routine for extended GP models	fit.egp
Fit an extended generalized Pareto distribution of Naveau et al.	fit.extgp
Maximum likelihood estimation for the generalized extreme value distribution	fit.gev
Optimization for the GEV likelihood for blocks	fit.gevblock
Maximum likelihood estimation for the generalized Pareto distribution	fit.gpd
Maximum likelihood estimation of the point process of extremes	fit.pp
Estimator of the second order tail index parameter	fit.rho
Maximum likelihood estimates of point process for the r-largest observations	fit.rlarg
Shape parameter estimates	fit.shape
Maximum likelihood estimation for weighted generalized Pareto distribution	fit.wgpd
French wind data	frwind
Magnetic storms	geomagnetic
Generalized extreme value distribution	gev
Asymptotic bias of block maxima for fixed sample sizes	gev.abias
Bias correction for GEV distribution	gev.bcor
Bootstrap approximation for generalized extreme value parameters	gev.boot
Generalized extreme value maximum likelihood estimates for various quantities of interest	gev.mle
N-year return levels, median and mean estimate	gev.Nyr
Profile log-likelihood for the generalized extreme value distribution	gev.pll
Tangent exponential model approximation for the GEV distribution	gev.tem
Generalized extreme value distribution	dgev gevdist pgev qgev rgev
Generalized extreme value distribution (quantile/mean of N-block maxima parametrization)	gevN
Generalized extreme value distribution (return level parametrization)	gevr
Generalized Pareto distribution	gpd
Asymptotic bias of threshold exceedances for k order statistics	gpd.abias
Bias correction for GP distribution	gpd.bcor
Bootstrap approximation for generalized Pareto parameters	gpd.boot
Estimation of generalized Pareto parameters via L-moments	gpd.lmom
Generalized Pareto maximum likelihood estimates for various quantities of interest	gpd.mle
Profile log-likelihood for the generalized Pareto distribution	gpd.pll
Tangent exponential model approximation for the GP distribution	gpd.tem
Generalized Pareto distribution (expected shortfall parametrization)	gpde
Generalized Pareto distribution	dgp gpdist pgp qgp rgp
Generalized Pareto distribution (mean of maximum of N exceedances parametrization)	gpdN
Generalized Pareto distribution (return level parametrization)	gpdr
Interpret bivariate threshold exceedance models	ibvpot
Leeds air pollution	leedspollution
Maiquetia Daily Rainfall	maiquetia
Transform arguments using max stability	maxstable
Censored likelihood for multivariate peaks over threshold models	mgp.cll
Likelihood for multivariate peaks over threshold models	mgp.ll
River Nidd Flow	nidd
Nutrient data	nutrients
Deaths from pandemics	pandemics
Smith's penultimate approximations	penultimate
Plot of (modified) profile likelihood	plot.eprof
Plot of tangent exponential model profile likelihood	plot.fr
Sequential analysis diagnostic plots for threshold selection	plot.mev_thselect_wadsworth thselect.wseq
Mean residual life parameter stability plot	plot.mev_tstab_mrl
Poisson process of extremes.	pp
Diagnostic plots for max-stability based on blocks of GEV samples	qqplot.blocksize
Pointwise and simultaneous binomial confidence intervals for uniform via simulation	qqplot.unif
Weissman's quantile estimator	qweissman
Random variate generation for Dirichlet distribution on Sd	rdir
Simulation from generalized R-Pareto processes	rgparp
Second order tail index estimator of Drees and Kaufmann	rho.dk
Second order tail index estimator of Fraga Alves et al. Estimator of the second order regular variation parameter rho <=q 0 parameter for heavy-tailed data proposed by Fraga Alves et al. (2003)	rho.fagh
Second order tail index estimator of Goegebeur et al. (2008)	rho.gbw
Second order tail index estimator of Gomes et al.	rho.ghp
Distribution of the r-largest observations	rlarg
Simulation from first-order max-autoregressive processes	rmar1
Exact simulations of multivariate extreme value distributions	rmev
Random samples from spectral distributions of multivariate extreme value models.	rmevspec
Multivariate Normal distribution sampler	rmnorm
Simulation from R-Pareto processes	rparp
Simulation from Pareto processes using composition sampling	rparpcs
Simulation of generalized Huesler-Reiss Pareto vectors via composition sampling	rparpcshr
Simulate r-largest observations from point process of extremes	rrlarg
Exponential regression estimator of the shape	shape.erm
Generalized jackknife shape estimator	shape.genjack
Beirlant et al. generalized quantile shape estimator	shape.genquant
Hill's estimator of the shape parameter	shape.hill
Lower-trimmed Hill shape estimator	shape.lthill
Dekkers and de Haan moment estimator for the shape	shape.moment
Extreme U-statistic Pickands shape estimator	shape.osz
Pickand's shape estimator	shape.pickands
Random block maxima shape estimator of Wager	plot.mev_shape_rbm shape.rbm
Trimmed Hill estimator for the shape parameter	shape.trimhill
de Vries shape estimator	shape.vries
Semi-parametric marginal transformation to uniform	spunif
Coefficient of tail correlation and tail dependence	taildep
Likelihood ratio test for max-stability	test.blocksize
P-P plot for testing max stability	test.maxstab
Ramos and Ledford test of independence	test.scoreindep
Thames river flow at Kingston	thames
Automatic L-moment ratio selection method	thselect.alrs
Lower truncated Hill threshold selection	thselect.bab
Threshold selection by shape mean square error minimization	thselect.cbm
Threshold selection via coefficient of variation	thselect.cv
Threshold selection based on extended generalized Pareto models	thselect.egp
Generalized quantile threshold selection	thselect.expgqt
Kernel-based threshold selection of Goegebeur, Beirlant and de Wet (2008)	thselect.gbw
Threshold selection based on weighted Kolmogorov-Smirnov distance	thselect.goks
Mahalanobis distance-based methodology	thselect.ksmd
Minimum distance threshold selection procedure	thselect.mdps
Automated mean residual life plots	plot.mev_thselect_automrl thselect.mrl
Northop and Coleman piecewise generalized Pareto threshold selection diagnostic	thselect.ncpgp
Prediction error C-criterion threshold selection method	thselect.pec
Pickands' order statistics threshold selection method	thselect.pickands
Threshold selection for the random block maxima method	thselect.rbm
Threshold selection via SAMSEE	thselect.samsee
Threshold selection diagnostic of Suveges and Davison	thselect.sdinfo
Metric-based threshold selection	plot.mev_thselect_vmetric thselect.vmetric
Threshold selection via minimization of the weighted Cramer-von Mises distance	thselect.wcvm
Coefficient of variation threshold stability plot	tstab.cv
Threshold stability plots for extended generalized Pareto models	tstab.egp
Parameter stability plots for peaks-over-threshold	tstab.gpd
Threshold stability plot for Hill estimator	tstab.hill
Threshold stability plots for left-truncated Hill estimators	tstab.lthill
Mean residual life plot	tstab.mrl
Venice Sea Levels	venice
Best 200 times of Women 1500m Track	w1500m
Extremogram	xacf
Coefficient of extremal asymmetry	xdep.asym
Coefficient of tail correlation	xdep.chi
Coefficient chi-bar	xdep.chibar
Coefficient of tail dependence	xdep.eta
Estimator of the Pickands dependence function	xdep.pickands
Tail pairwise dependence matrix	xdep.tpdm
Coefficient of extremal index	xdep.xcoef
Extremal index coefficient	xdep.xindex