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graphicalExtremes (version 0.3.1)

Statistical Methodology for Graphical Extreme Value Models

Description

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 (2020) .

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install.packages('graphicalExtremes')

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259

Version

0.3.1

License

GPL-3

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Repository

https://github.com/sebastian-engelke/graphicalExtremes

Maintainer

Sebastian Engelke

Last Published

February 22nd, 2024

Functions in graphicalExtremes (0.3.1)

Compute plot limits

Data standardization to multivariate Pareto scale

complete_Gamma_general

Non-decomposable completion of variogram matrices

complete_Gamma_decomposable

Completion of decomposable Gamma matrices

Learning extremal graph structure

complete_Gamma_general_demo

DEMO-VERSION: Completion of non-decomposable Gamma matrices

Empirical estimation of extremal correlation matrix \(\chi\)

fillFixedParams

Helper function to combine par with fixed params (in init)

complete_Gamma_general_split

Non-decomposable completion of variogram matrices

emp_chi_multdim

Empirical estimation of extremal correlation \(\chi\)

Estimation of the variogram matrix \(\Gamma\) of a Huesler-Reiss distribution

Find a separator set for two vertices

generate_random_model

Generate random Huesler-Reiss Models

generate_random_integer_Gamma

Generate a random Gamma matrix containing only integers

fmpareto_graph_HR

Parameter fitting for Huesler-Reiss graphical models

generate_random_chordal_graph

Generate random graphs

Performs Gaussian likelihood optimization under Laplacian matrix constraints.

flightCountMatrixToConnectionList

Convert flight counts to connection list

generate_random_spd_matrix

Generate a random symmetric positive definite matrix

generate_random_Gamma

Generate a random Gamma matrix

fit_graph_to_Theta

Experimental: Fit graph using empirical Theta matrix

Fit value(s) in interval

Number of cores to be used in parallel computations

Fitting extremal minimum spanning tree

generate_random_graphical_Gamma

Generate a random Gamma matrix for a given graph

getDanubeFlowGraph

Get Danube flow graph

ensure_matrix_symmetry

Ensure numerical matrix symmetry/zero values

getFlightDelayData

Get filtered flight delays

Fast computation of diag(y %% M %% t(y))

Flights delay data

fmpareto_HR_MLE

Parameter fitting for multivariate Huesler-Reiss Pareto distribution

Convert matrix to graph

Marginalize multivariate Pareto dataset

fmpareto_graph_HR_clique_average

HR Parameter fitting - Helper functions

getSubMatrixForSubgraph

Get the submatrix corresponding to a subgraph

make_numeric_indices

Convert indices to numerical indices

Compute censored exponent measure

Full censored log-likelihood of HR model

Get package data

Sampling of a multivariate max-stable distribution

Tolerances to be used in computations

Create Gamma or Theta from vector

Sampling of a multivariate max-stable distribution on a tree

Simulate HR extremal functions

simu_px_dirichlet

Simulate Dirichlet extremal functions

simu_px_tree_dirichlet

Simulate Dirichlet extremal functions on a tree

Compute Huesler-Reiss log-likelihood, AIC, and BIC

Sampling of a multivariate Pareto distribution

get_alert_function

Get alert function

Sampling of a multivariate Pareto distribution on a tree

Compute the exponent measure density of HR distribution

simu_px_tree_HR

Simulate HR extremal functions on a tree

Plot Danube River Flow Data

Create a list of separators

get_cliques_and_separators

Get Cliques and Separators of a graph

graphicalExtremes

graphicalExtremes: Statistical methodology for graphical extreme value models.

get_cliques_and_separators_OLD

Get Cliques and Separators of a graph

Plot flight data

parToMatricesFactory

Factory: parToMatrices

simu_px_logistic

Simulate logistic extremal functions

Conversion between Huesler-Reiss parameter matrices

simu_px_neglogistic

Simulate negative logistic extremal functions

simu_px_tree_logistic

Simulate logistic extremal functions on a tree

Split graph into invariant subgraphs

Compute theoretical \(\chi\) in 3D

Compute exponent measure

check_split_by_sep

Identify pairs of vertices that are split by a separator

Upper Danube basin dataset

Computes the Z-matrix

HR parameter matrix checks

Completion of Gamma matrices

Transformation between \(\chi\) and \(\Gamma\)

check_partial_matrix_and_graph

Check input graph and partial matrix

complete_Gamma_one_step

Completion of two-clique decomposable Gamma matrices

Check input graph