graphicalExtremes

graphicalExtremes-package

The <code>graphicalExtremes</code> package provides three categories of functions:
simulation, estimation and transformation.

Statistical methodology for sparse multivariate extreme value models. Methods are
provided for exact simulation and statistical inference for multivariate Pareto distributions
on graphical structures as described in the paper 'Graphical Models for Extremes' by
Engelke and Hitz (2018) <arXiv:1812.01734>.

Sebastian Engelke

Statistical Methodology for Graphical Extreme Value Models

Adrien S. Hitz

Nicola Gnecco

graphicalExtremes function

<ul>
<li><code>rmpareto</code></li>
<li><code>rmpareto_tree</code></li>
<li><code>rmstable</code></li>
<li><code>rmstable_tree</code></li>
</ul>

Simulation functions

<ul>
<li><code>fmpareto_graph_HR</code></li>
<li><code>mst_HR</code></li>
<li><code>emp_chi</code></li>
<li><code>emp_chi_mat</code></li>
</ul>

Estimation functions

<ul>
<li><code>Gamma2graph</code></li>
<li><code>Gamma2Sigma</code></li>
<li><code>Sigma2Gamma</code></li>
<li><code>Gamma2chi</code></li>
<li><code>chi2Gamma</code></li>
<li><code>complete_Gamma</code></li>
<li><code>data2mpareto</code></li>
</ul>

Transformation functions

graphicalExtremes: Statistical methodology for graphical extreme value models. — graphicalExtremes

<ul>
<li><code>rmpareto</code></li>
<li><code>rmpareto_tree</code></li>
<li><code>rmstable</code></li>
<li><code>rmstable_tree</code></li>
</ul>

<ul>
<li><code>fmpareto_graph_HR</code></li>
<li><code>mst_HR</code></li>
<li><code>emp_chi</code></li>
<li><code>emp_chi_mat</code></li>
</ul>

<ul>
<li><code>Gamma2graph</code></li>
<li><code>Gamma2Sigma</code></li>
<li><code>Sigma2Gamma</code></li>
<li><code>Gamma2chi</code></li>
<li><code>chi2Gamma</code></li>
<li><code>complete_Gamma</code></li>
<li><code>data2mpareto</code></li>
</ul>

graphicalExtremes: graphicalExtremes: Statistical methodology for graphical extreme value models.

Description

Arguments

Simulation functions

Estimation functions

Transformation functions

References