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mev (version 1.11)

Multivariate Extreme Value Distributions

Description

Exact simulation from max-stable processes and multivariate extreme value distributions for various parametric models. Threshold selection methods.

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install.packages('mev')

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1,227

Version

1.11

License

GPL-3

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Repository

https://github.com/lbelzile/mev/

Maintainer

Leo Belzile

Last Published

February 22nd, 2018

Functions in mev (1.11)

angextrapo

Bivariate angular function for extrapolation based on rays

egp

Extended generalised Pareto families

gev.score

Score vector for the generalized extreme value distribution

ext.index

Extremal index estimators based on interexceedance time and gap of exceedances

gev.Fscore

Firth's modified score equation for the generalized extreme value distribution

gev.bias

Cox-Snell first order bias expression for the GEV distribution

egp2.fit

Fit an extended generalized Pareto distribution of Naveau et al.

gev.tem

Tangent exponential model approximation for the GEV distribution

gevr

Generalized extreme value distribution (return level parametrization)

emplik

Self-concordant empirical likelihood for a vector mean

gevN.temstat

Tangent exponential model statistics for the generalized Pareto distribution (mean of maximum of N exceedances parametrization)

gev.infomat

Information matrix for the generalized extreme value distribution

gevr.infomat

Observed information matrix for GEV distribution (return levels)

gp.fit

Peaks-over-threshold modelling using the generalized Pareto distribution

gevr.ll

Negative log likelihood of the generalized extreme value distribution (return levels)

gpd.Fscore

Firth's modified score equation for the generalized Pareto distribution

gev.pll

Modified profile likelihood for the generalized extreme value distribution

gev.retlev

Return level for the generalized extreme value distribution

gpd

Generalized Pareto distribution

gevN.infomat

Information matrix of the generalized extreme value distribution (quantile/mean of N-block maxima parametrization)

gevN.ll

Negative log likelihood of the generalized extreme value distribution (quantile/mean of N-block maxima parametrization)

NC.diag

Score and likelihood ratio tests fit of equality of shape over multiple thresholds

gevr.score

Score of the log likelihood for the GEV distribution (return levels)

gevr.temstat

Tangent exponential model statistics for the GEV distribution (return level)

gpd.mle

Generalized Pareto maximum likelihood estimates for various quantities of interest

gpd.pll

Modified profile likelihood for the generalized Pareto distribution

gpd.abias

Asymptotic bias of threshold exceedances for k order statistics

gpdr.infomat

Observed information matrix for GP distribution (return levels)

gpdr.ll

Negative log likelihood of the generalized Pareto distribution (return levels)

W.diag

Wadsworth's univariate and bivariate exponential threshold diagnostics

egp2.G

Carrier distribution for the extended GP distributions of Naveau et al.

ibvpot

Interpret bivariate threshold exceedance models

rparp

Simulation from R-Pareto processes

gpd.tem

Tangent exponential model approximation for the GP distribution

egp2

Extended generalised Pareto families of Naveau et al. (2016)

infomat.test

Information matrix test statistic and MLE for the extremal index

smith.penult

Smith (1987) penultimate approximations

gpdN.mean

This function returns the mean of N maxima from the GP.

gpd.score

Score vector for the generalized Pareto distribution

gpdr.temstat

Tangent exponential model statistics for the generalized Pareto distribution (return level)

gpde.ll

Negative log likelihood of the generalized Pareto distribution (expected shortfall)

gpdN.quant

This function returns the qth percentile of N maxima from the GP.

gpdr.score

Score of the profile log likelihood for the GP distribution (return levels parametrization)

gpde.score

Score vector for the GP distribution (expected shortfall)

gpdN.score

Score vector of the generalized Pareto distribution (mean of maximum of N exceedances parametrization)

gpdN.temstat

Tangent exponential model statistics for the generalized Pareto distribution (mean of maximum of N exceedances parametrization)

plot.fr

Plot of tangent exponential model profile likelihood

gev.ll

log likelihood for the generalized extreme value distribution

gev.mle

Generalized extreme value maximum likelihood estimates for various quantities of interest

rdir

Random variate generation for Dirichlet distribution on \(S_{d}\)

gev.temstat

Tangent exponential model statistics for the generalized extreme value distribution

gevN

Generalized extreme value distribution (quantile/mean of N-block maxima parametrization)

smith.penult.fn

Smith (1987) third penultimate approximation

gpd.bcor

Bias correction for GP distribution using Firth's modified score function or bias substraction

confint.extprof

Confidence intervals for profile likelihood objects

gev.Nyr

N-year return levels, median and mean estimate

confint.fr

Confidence intervals for profile likelihood derived from TEM

spline.corr

Spline correction for Fraser-Reid approximations

gev

Generalized extreme value distribution

gev.abias

Asymptotic bias of block maxima for fixed sample sizes

gpd.bias

Cox-Snell first order bias expression for the generalized Pareto distribution

gev.bcor

Bias correction for GEV distribution using Firth's modified score function or bias substraction

gevN.score

Score of the generalized extreme value distribution (quantile/mean of N-block maxima parametrization)

gpd.infomat

Information matrix for the generalized Pareto distribution

gevN.mean

This function returns the mean of N observations from the GEV.

gpd.temstat

Tangent exponential model statistics for the generalized Pareto distribution

gpd.ll

log likelihood for the generalized Pareto distribution

gpdN.infomat

Information matrix of the generalized Pareto distribution (mean of maximum of N exceedances parametrization)

gpdN

Generalized Pareto distribution (mean of maximum of N exceedances parametrization)

gpde.temstat

Tangent exponential model statistics for the generalized Pareto distribution (expected shortfall)

gpdr

Generalized Pareto distribution (return level parametrization)

gpde

Generalized Pareto distribution (expected shortfall parametrization)

gpdN.ll

Negative log likelihood of the generalized Pareto distribution (mean of maximum of N exceedances parametrization)

lambdadep

Estimation of the bivariate lambda function of Wadsworth and Tawn (2013)

gpde.infomat

Observed information matrix for the GP distribution (expected shortfall)

mev-package

Multivariate Extreme Value Distributions

mvrnorm

Multivariate Normal distribution sampler

plot.extprof

Plot of (modified) profile likelihood

rmev

Exact simulations of multivariate extreme value distributions

rmevspec

Random samples from spectral distributions of multivariate extreme value models.

angmeasdir

Dirichlet mixture model for the spectral density

chibar

Parametric estimates of \(\bar{\chi}\)

angmeas

Rank-based transformation to angular measure

egp-function

Extended generalised Pareto families of Papastathopoulos and Tawn (functions)

egp.fit

Fit of extended GP models and parameter stability plots

pegp2.G

EGP functions