graphicalExtremes

The goal of graphicalExtremes is to provide an implementation of the statistical methodology paper Engelke and Hitz (2019, JRSSB) for sparse multivariate extreme value models. This includes exact simulation algorithms and statistical inference methods for multivariate Pareto distributions on graphical structures.

Installation

You can install the development version of graphicalExtremes from GitHub with:

# install.packages("devtools")
devtools::install_github("sebastian-engelke/graphicalExtremes")