Package: mev 2.2.0003

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_2.2.0003.tar.gz
mev_2.2.0003.zip(r-4.7)mev_2.2.0003.zip(r-4.6)mev_2.2.0003.zip(r-4.5)
mev_2.2.0003.tgz(r-4.6-x86_64)mev_2.2.0003.tgz(r-4.6-arm64)mev_2.2.0003.tgz(r-4.5-x86_64)mev_2.2.0003.tgz(r-4.5-arm64)
mev_2.2.0003.tar.gz(r-4.7-arm64)mev_2.2.0003.tar.gz(r-4.7-x86_64)mev_2.2.0003.tar.gz(r-4.6-arm64)mev_2.2.0003.tar.gz(r-4.6-x86_64)
mev_2.2.0003.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
mev/json (API)
NEWS

# 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:

On CRAN:

Conda:

extreme-value-statisticslikelihood-functionsmax-stablesimulationthreshold-selectionopenblascppopenmp

9.65 score 15 stars 5 packages 116 scripts 4.5k downloads 4 mentions 228 exports 14 dependencies

Last updated from:f61427e38f. Checks:11 ERROR, 2 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64ERROR247
linux-devel-x86_64ERROR253
source / vignettesOK286
linux-release-arm64ERROR232
linux-release-x86_64ERROR236
macos-release-arm64ERROR178
macos-release-x86_64ERROR403
macos-oldrel-arm64ERROR156
macos-oldrel-x86_64ERROR376
windows-develERROR259
windows-releaseERROR252
windows-oldrelERROR249
wasm-releaseOK138

Exports:.fit.gpd.rob.gev.postpred.gpd_2D_fitadfangextrapoangmeasangmeasdirautomrlbuild.blocksclikmgpcvselectdegpdextgpdextgp.Gdgeoanisodgevdgpdistgegp.fitegp.fitrangeegp.llegp.pllegp.retlevegp2.fitemplikexpmeext.indexextcoefextremofit.egpfit.extgpfit.gevfit.gevblockfit.gpdfit.ppfit.rhofit.rlargfit.shapefit.wgpdgev.abiasgev.bcorgev.biasgev.bootgev.dphigev.Fscoregev.infomatgev.llgev.ll.optimgev.mlegev.Nyrgev.phigev.pllgev.retlevgev.scoregev.temgev.Vfungevblock.llgevN.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.lmomgpd.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.testintensBRintensXstudjac_gpd_paretokjtailLambda2covlambdadeplikmgpmaxstablemaxstabtestmgp.cllmgp.llmvrnormNC.diagpegppenultimatepextgppextgp.GpgevpgpPickandsXUpower.variopowerexp.corpp.infomatpp.llpp.scoreqegpqextgpqextgp.Gqgevqgpqqplot.blocksizeqqplot.unifqweissmanrdirregprextgprextgp.Grgevrgprgparprho.dkrho.faghrho.gbwrho.ghprlarg.infomatrlarg.llrlarg.scorermar1rmevrmevspecrmnormrparprparpcsrparpcshrrrlargschlather.varioscoreindepshape.ermshape.genjackshape.genquantshape.hillshape.lthillshape.momentshape.oszshape.pickandsshape.rbmshape.trimhillshape.vriessmith.penultsmith.penult.fnspline.corrspunifstein_gp_likStein_weightstaildeptem.corrtest.blocksizetest.maxstabtest.scoreindeptest.unifthselect.alrsthselect.babthselect.cbmthselect.cvthselect.egpthselect.expgqtthselect.gbwthselect.goksthselect.ksmdthselect.mdpsthselect.mrlthselect.ncpgpthselect.pecthselect.pickandsthselect.rbmthselect.samseethselect.sdinfothselect.vmetricthselect.wcvmthselect.wseqtstab.cvtstab.egptstab.gpdtstab.hilltstab.lthilltstab.mrlW.diagxacfxasymxdep.asymxdep.chixdep.chibarxdep.etaxdep.xcoefxdep.xindex

Dependencies:alabamacodetoolsdigestfuturefuture.applyglobalslistenvnleqslvnumDerivparallellyRcppRcppArmadilloRsolnptruncnorm

Exact unconditional sampling from max-stable random vectors

Léo Belzile, HEC Montréal

Rendered frommev-vignette.Rmdusingknitr::rmarkdownon May 07 2026.

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

Readme and manuals

Help Manual

Help pageTopics
Abisko rainfallabisko
Estimation of the bivariate angular dependence functionadf
Rank-based transformation to angular measureangmeas
Dirichlet mixture smoothing of the angular measureangmeasdir
Compute block maxima and order them by blockbuild.blocks
Cheeseboro wind speed datacheeseborowind
Confidence intervals for profile likelihood objectsconfint.eprof
Distance matrix with geometric anisotropydgeoaniso
Extended generalised Pareto familiesegp
Profile log likelihood for extended generalized Pareto modelsegp.pll
Extended generalized Pareto distributiondegp egpdist pegp qegp regp
Self-concordant empirical likelihood for a vector meanemplik
Eskdalemuir Observatory Daily Rainfalleskrain
Exponent measure for multivariate generalized Pareto distributionsexpme
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 modelsfit.egp
Fit an extended generalized Pareto distribution of Naveau et al.fit.extgp
Maximum likelihood estimation for the generalized extreme value distributionfit.gev
Optimization for the GEV likelihood for blocksfit.gevblock
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
Bootstrap approximation for generalized extreme value parametersgev.boot
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
Estimation of generalized Pareto parameters via L-momentsgpd.lmom
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
Leeds air pollutionleedspollution
Maiquetia Daily Rainfallmaiquetia
Transform arguments using max stabilitymaxstable
Censored likelihood for multivariate peaks over threshold modelsmgp.cll
Likelihood for multivariate peaks over threshold modelsmgp.ll
River Nidd Flownidd
Nutrient datanutrients
Deaths from pandemicspandemics
Smith's penultimate approximationspenultimate
Plot of (modified) profile likelihoodplot.eprof
Plot of tangent exponential model profile likelihoodplot.fr
Sequential analysis diagnostic plots for threshold selectionplot.mev_thselect_wadsworth thselect.wseq
Mean residual life parameter stability plotplot.mev_tstab_mrl
Poisson process of extremes.pp
Diagnostic plots for max-stability based on blocks of GEV samplesqqplot.blocksize
Pointwise and simultaneous binomial confidence intervals for uniform via simulationqqplot.unif
Weissman's quantile estimatorqweissman
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 Goegebeur et al. (2008)rho.gbw
Second order tail index estimator of Gomes et al.rho.ghp
Distribution of the r-largest observationsrlarg
Simulation from first-order max-autoregressive processesrmar1
Exact simulations of multivariate extreme value distributionsrmev
Random samples from spectral distributions of multivariate extreme value models.rmevspec
Multivariate Normal distribution samplerrmnorm
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
Exponential regression estimator of the shapeshape.erm
Generalized jackknife shape estimatorshape.genjack
Beirlant et al. generalized quantile shape estimatorshape.genquant
Hill's estimator of the shape parametershape.hill
Lower-trimmed Hill shape estimatorshape.lthill
Dekkers and de Haan moment estimator for the shapeshape.moment
Extreme U-statistic Pickands shape estimatorshape.osz
Pickand's shape estimatorshape.pickands
Random block maxima shape estimator of Wagerplot.mev_shape_rbm shape.rbm
Trimmed Hill estimator for the shape parametershape.trimhill
de Vries shape estimatorshape.vries
Semi-parametric marginal transformation to uniformspunif
Coefficient of tail correlation and tail dependencetaildep
Likelihood ratio test for max-stabilitytest.blocksize
P-P plot for testing max stabilitytest.maxstab
Ramos and Ledford test of independencetest.scoreindep
Thames river flow at Kingstonthames
Automatic L-moment ratio selection methodthselect.alrs
Lower truncated Hill threshold selectionthselect.bab
Threshold selection by shape mean square error minimizationthselect.cbm
Threshold selection via coefficient of variationthselect.cv
Threshold selection based on extended generalized Pareto modelsthselect.egp
Generalized quantile threshold selectionthselect.expgqt
Kernel-based threshold selection of Goegebeur, Beirlant and de Wet (2008)thselect.gbw
Threshold selection based on weighted Kolmogorov-Smirnov distancethselect.goks
Mahalanobis distance-based methodologythselect.ksmd
Minimum distance threshold selection procedurethselect.mdps
Automated mean residual life plotsplot.mev_thselect_automrl thselect.mrl
Northop and Coleman piecewise generalized Pareto threshold selection diagnosticthselect.ncpgp
Prediction error C-criterion threshold selection methodthselect.pec
Pickands' order statistics threshold selection methodthselect.pickands
Threshold selection for the random block maxima methodthselect.rbm
Threshold selection via SAMSEEthselect.samsee
Threshold selection diagnostic of Suveges and Davisonthselect.sdinfo
Metric-based threshold selectionplot.mev_thselect_vmetric thselect.vmetric
Threshold selection via minimization of the weighted Cramer-von Mises distancethselect.wcvm
Coefficient of variation threshold stability plottstab.cv
Threshold stability plots for extended generalized Pareto modelststab.egp
Parameter stability plots for peaks-over-thresholdtstab.gpd
Threshold stability plot for Hill estimatortstab.hill
Threshold stability plots for left-truncated Hill estimatorststab.lthill
Mean residual life plottstab.mrl
Venice Sea Levelsvenice
Best 200 times of Women 1500m Trackw1500m
Extremogramxacf
Coefficient of extremal asymmetryxdep.asym
Coefficient of tail correlationxdep.chi
Coefficient chi-barxdep.chibar
Coefficient of tail dependencexdep.eta
Coefficient of extremal indexxdep.xcoef
Extremal index coefficientxdep.xindex