Package: mev 1.17.1

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], Scott D. Grimshaw [aut], Jin Zhang [ctb], Michael A. Stephens [ctb], Art B. Owen [ctb], Raphael Huser [aut]

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NEWS

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

Peer review:

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

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:

On CRAN:

extreme-value-statisticslikelihood-functionsmax-stablesimulationthreshold-selection

8.51 score 12 stars 4 packages 87 scripts 1.6k downloads 4 mentions 164 exports 7 dependencies

Last updated 30 days agofrom:8652e8a247. Checks:OK: 1 WARNING: 8. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 22 2024
R-4.5-win-x86_64WARNINGNov 22 2024
R-4.5-linux-x86_64WARNINGNov 22 2024
R-4.4-win-x86_64WARNINGNov 22 2024
R-4.4-mac-x86_64WARNINGNov 22 2024
R-4.4-mac-aarch64WARNINGNov 22 2024
R-4.3-win-x86_64WARNINGNov 22 2024
R-4.3-mac-x86_64WARNINGNov 22 2024
R-4.3-mac-aarch64WARNINGNov 22 2024

Exports:.fit.gpd.rob.gev.postpred.gpd_2D_fitangextrapoangmeasangmeasdirautomrlchibarclikmgpcvselectdextgpdextgp.Gdgevdgpdistgegp.fitegp.fitrangeegp.llegp.retlevegp2.fitemplikexpmeext.indexextcoefextremofit.egpfit.extgpfit.gevfit.gpdfit.ppfit.rlargfit.shapefit.wgpdgev.abiasgev.bcorgev.biasgev.dphigev.Fscoregev.infomatgev.llgev.ll.optimgev.mlegev.Nyrgev.phigev.pllgev.retlevgev.scoregev.temgev.VfungevN.dphigevN.infomatgevN.llgevN.meangevN.phigevN.scoregevN.Vfungevr.dphigevr.infomatgevr.llgevr.ll.optimgevr.phigevr.scoregevr.Vfungp.fitgpd.abiasgpd.bcorgpd.biasgpd.bootgpd.dphigpd.Fscoregpd.infomatgpd.llgpd.ll.optimgpd.mlegpd.phigpd.pllgpd.scoregpd.temgpd.Vfungpde.dphigpde.infomatgpde.llgpde.ll.optimgpde.phigpde.scoregpde.VfungpdN.dphigpdN.infomatgpdN.llgpdN.meangpdN.phigpdN.quantgpdN.scoregpdN.Vfungpdr.dphigpdr.infomatgpdr.llgpdr.ll.optimgpdr.phigpdr.scoregpdr.Vfungpdtoparibvpotinfomat.testintensBRintensXstudjacLambda2covlambdadeplikmgpmaxstabtestmvrnormNC.diagpextgppextgp.GpgevpgpPickandsXUpower.variopowerexp.corpp.infomatpp.llpp.scoreqextgpqextgp.Gqgevqgprdirrextgprextgp.Grgevrgprgparprho.ghprlarg.infomatrlarg.llrlarg.scorermevrmevspecrparprparpcsrparpcshrrrlargschlather.varioscoreindepshape.genquantshape.hillshape.momentshape.pickandsshape.pickandsxushape.vriessmith.penultsmith.penult.fnspline.corrspunifstein_gp_likStein_weightstaildeptem.corrtstab.egptstab.gpdvmetric.diagW.diagxasym

Dependencies:alabamanleqslvnumDerivRcppRcppArmadilloRsolnptruncnorm

Exact unconditional sampling from max-stable random vectors

Léo Belzile, HEC Montréal

Rendered frommev-vignette.Rmdusingknitr::rmarkdownon Nov 22 2024.

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

Readme and manuals

Help Manual

Help pageTopics
Abisko rainfallabisko
Bivariate angular dependence function for extrapolation based on raysangextrapo
Rank-based transformation to angular measureangmeas
Dirichlet mixture smoothing of the angular measureangmeasdir
Automated mean residual life plotsautomrl
Confidence intervals for profile likelihood objectsconfint.eprof
Threshold selection via coefficient of variationcvselect
Distance matrix with geometric anisotropydistg
Extended generalised Pareto familiesegp
Self-concordant empirical likelihood for a vector meanemplik
Exponential regression estimatorerm
Eskdalemuir Observatory Daily Rainfalleskrain
Exponent measure for multivariate generalized Pareto distributionsexpme
Extremal index estimators based on interexceedance time and gap of exceedancesext.index
Estimators of the extremal coefficientextcoef
Extended generalised Pareto families of Naveau et al. (2016)extgp
Carrier distribution for the extended GP distributions of Naveau et al.extgp.G
Pairwise extremogram for max-risk functionalextremo
Parameter stability plot and maximum likelihood routine for extended GP modelsfit.egp tstab.egp
Fit an extended generalized Pareto distribution of Naveau et al.fit.extgp
Maximum likelihood estimation for the generalized extreme value distributionfit.gev
Maximum likelihood estimation for the generalized Pareto distributionfit.gpd
Maximum likelihood estimation of the point process of extremesfit.pp
Estimator of the second order tail index parameterfit.rho
Maximum likelihood estimates of point process for the r-largest observationsfit.rlarg
Shape parameter estimatesfit.shape
Maximum likelihood estimation for weighted generalized Pareto distributionfit.wgpd
French wind datafrwind
Magnetic stormsgeomagnetic
Generalized extreme value distributiongev
Asymptotic bias of block maxima for fixed sample sizesgev.abias
Bias correction for GEV distributiongev.bcor
Generalized extreme value maximum likelihood estimates for various quantities of interestgev.mle
N-year return levels, median and mean estimategev.Nyr
Profile log-likelihood for the generalized extreme value distributiongev.pll
Tangent exponential model approximation for the GEV distributiongev.tem
Generalized extreme value distributiondgev 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 distributiongpd
Asymptotic bias of threshold exceedances for k order statisticsgpd.abias
Bias correction for GP distributiongpd.bcor
Bootstrap approximation for generalized Pareto parametersgpd.boot
Generalized Pareto maximum likelihood estimates for various quantities of interestgpd.mle
Profile log-likelihood for the generalized Pareto distributiongpd.pll
Tangent exponential model approximation for the GP distributiongpd.tem
Generalized Pareto distribution (expected shortfall parametrization)gpde
Generalized Pareto distributiondgp 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 modelsibvpot
Information matrix test statistic and MLE for the extremal indexinfomat.test
Estimation of the bivariate angular dependence function of Wadsworth and Tawn (2013)lambdadep
Likelihood for multivariate peaks over threshold modelslikmgp
Maiquetia Daily Rainfallmaiquetia
P-P plot for testing max stabilitymaxstabtest
Multivariate Normal distribution samplermvrnorm
Score and likelihood ratio tests fit of equality of shape over multiple thresholdsNC.diag
River Nidd Flownidd
Nutrient datanutrients
Deaths from pandemicspandemics
Plot of (modified) profile likelihoodplot.eprof
Plot of tangent exponential model profile likelihoodplot.fr
Poisson process of extremes.pp
Random variate generation for Dirichlet distribution on Sdrdir
Simulation from generalized R-Pareto processesrgparp
Second order tail index estimator of Drees and Kaufmannrho.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 Gomes et al.rho.ghp
Distribution of the r-largest observationsrlarg
Exact simulations of multivariate extreme value distributionsrmev
Random samples from spectral distributions of multivariate extreme value models.rmevspec
Simulation from R-Pareto processesrparp
Simulation from Pareto processes using composition samplingrparpcs
Simulation of generalized Huesler-Reiss Pareto vectors via composition samplingrparpcshr
Simulate r-largest observations from point process of extremesrrlarg
Ramos and Ledford test of independencescoreindep
Beirlant et al. generalized quantile shape estimatorshape.genquant
Hill's estimator of the shape parametershape.hill
Dekkers and de Haan moment estimator for the shapeshape.moment
Pickand's shape estimatorshape.pickands
Extreme U-statistic Pickands estimatorshape.pickandsxu
de Vries shape estimatorshape.vries
Smith's penultimate approximationssmith.penult
Semi-parametric marginal transformation to uniformspunif
Coefficient of tail correlation and tail dependencetaildep
Parameter stability plots for peaks-over-thresholdtstab.gpd
Venice Sea Levelsvenice
Metric-based threshold selectionvmetric.diag
Wadsworth's univariate and bivariate exponential threshold diagnosticsW.diag
Best 200 times of Women 1500m Trackw1500m
Coefficient of extremal asymmetryxasym