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mev (version 1.16)

Modelling of Extreme Values

Description

Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes [Dombry, Engelke and Oesting (2016) , R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, ) and Extremal Student (Thibaud and Opitz, 2015, ). Threshold selection methods, including Wadsworth (2016) , and Northrop and Coleman (2014) . Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) .

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install.packages('mev')

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1,572

Version

1.16

License

GPL-3

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Repository

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

Homepage

https://lbelzile.github.io/mev/

Maintainer

Leo Belzile

Last Published

November 30th, 2023

Functions in mev (1.16)

Generate from extremal Husler-Reiss distribution \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function

Generate from Smith model (moving maxima) \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function

Robust threshold selection of Dupuis

Information matrix for the generalized Pareto distribution

Generate from negative logistic \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function scaled by a Frechet variate

.exp_info_algebraic

Algebraic calculation of the expected information

Abisko rainfall

Spline correction for Fraser-Reid approximations

Threshold selection via coefficient of variation

Log-likelihood of Poisson process of threshold exceedances

Information matrix for the generalized extreme value distribution

Automated mean residual life plots

Posterior predictive distribution and density for the GEV distribution

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

Maximum likelihood method for the generalized Pareto Model

Parameter stability plot and maximum likelihood routine for extended GP models

Generates from \(Q_i\), the spectral measure of the extremal Student model

Confidence intervals for profile likelihood objects

Dirichlet mixture smoothing of the angular measure

Wadsworth's univariate and bivariate exponential threshold diagnostics

Multivariate Normal distribution sampler (Rcpp version), derived using the eigendecomposition of the covariance matrix Sigma. The function utilizes the arma random normal generator

Interpret bivariate threshold exceedance models

Generates from \(Q_i\), the spectral measure of the bilogistic model

Rank-based transformation to angular measure

Score of the r-largest observations

.Joint_MLE_NHPP

Joint maximum likelihood for the non-homogeneous Poisson Process

Generates from \(Q_i\), the spectral measure of the pairwise exponential model

Is the matrix conditionally negative semi-definite? Function adapted from 'is.CNSD' in the CEGO package, v 2.1.0

Censored likelihood for multivariate peaks over threshold models

Self-concordant empirical likelihood for a vector mean

Generates from \(Q_i\), the spectral measure of the Dirichlet mixture model

Bivariate angular function for extrapolation based on rays

Maximum likelihood estimation for the generalized extreme value distribution

Internal function

Contrast matrix

Simulation from R-Pareto processes

.Joint_MLE_Expl

Joint maximum likelihood estimation for exponential model

Likelihood for multivariate peaks over threshold models

Maiquetia Daily Rainfall

Coefficient of extremal asymmetry

Generates from \(Q_i\), the spectral measure of the logistic model

Generate from extremal Student-t \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function

Samples from exceedances at site (scaled extremal function definition)

Fit of extended GP models and parameter stability plots

P-P plot for testing max stability

Maximum likelihood estimation of the point process of extremes

Generalized Pareto distribution

Return level for the generalized extreme value distribution

Generates from \(Q_i\), the spectral measure of the Husler-Reiss model

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

.rPBrownResnick

Generate from Brown-Resnick process \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function

Generalized extreme value distribution

Generate from logistic \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function scaled by a Frechet variate

Tangent exponential model approximation for the GEV distribution

Generalized extreme value distribution (return level parametrization)

Transformation from the generalized Pareto to unit Pareto

Tangent exponential model statistics for the generalized extreme value distribution

Profile log-likelihood for the generalized Pareto distribution

Bootstrap approximation for generalized Pareto parameters

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

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

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

Deprecated function for parameter stability plots

Pairwise extremogram for max-risk functional

Generalized Pareto maximum likelihood estimates for various quantities of interest

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

Bias correction for GP distribution

Maximum likelihood estimates of point process for the r-largest observations

Score vector for the generalized extreme value distribution

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

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

Log likelihood for the generalized Pareto distribution

Intensity function for the extremal Student model

Plot of (modified) profile likelihood

Score vector for the generalized Pareto distribution

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

Generalized Pareto distribution (return level parametrization)

Distance matrix with geometric anisotropy

Multivariate Normal distribution sampler

Generates from \(Q_i\), the spectral measure of the Smith model (moving maxima)

.score_algebraic

Algebraic score

Generates from \(Q_i\), the spectral measure of the Brown-Resnick model

Jacobian of the transformation from generalized Pareto to unit Pareto distribution

Weighted empirical distribution function

Generates from \(Q_i\), the spectral measure of the extremal Dirichlet model

Parameter stability plots for peaks-over-threshold

Score vector for the GP distribution (expected shortfall)

Power exponential correlation model

Power variogram model

Simulation from Pareto processes using composition sampling

Ramos and Ledford test of independence

Information matrix for the r-largest observations.

Multivariate extreme value distribution sampling algorithm via angular measure

Metric-based threshold selection

Venice Sea Levels

Log-likelihood of the point process of r-largest observations

Simulation from generalized R-Pareto processes

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

Asymptotic bias of block maxima for fixed sample sizes

Multivariate extreme value distribution sampling algorithm via extremal functions

Magnetic storms

Extreme U-statistic Pickands estimator

Observed information matrix for GEV distribution (return levels)

Generate from bilogistic \(Y \sim {P_x}\), where \(P_{x}\) is the probability of extremal functions

Semi-parametric marginal transformation to uniform

Random samples from asymmetric logistic distribution

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

Generalized extreme value maximum likelihood estimates for various quantities of interest

.fit.gpd.grimshaw

GP fitting function of Grimshaw (1993)

schlather.vario

Variogram model of Schlather and Moreva

Fit an extended generalized Pareto distribution of Naveau et al.

Generalized extreme value distribution

Distribution of the r-largest observations

Generate from extremal Dirichlet \(Y \sim {P_x}\), where \(P_{x}\) is the probability of extremal functions from the Dirichlet model of Coles and Tawn.

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

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

Maximum likelihood estimation for the generalized Pareto distribution

Fit an extended generalized Pareto distribution of Naveau et al.

log likelihood for the generalized extreme value distribution

Extended GP functions

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

Generates from \(Q_i\), the spectral measure of the pairwise Beta model

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

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

Generates from \(Q_i\), the spectral measure of the weighted Dirichlet model

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

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

Tangent exponential model approximation for the GP distribution

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

Maximum likelihood estimate of generalized Pareto applied to threshold exceedances

Generates from \(Q_i\), the spectral measure of the weighted exponential model

Extremal index estimators based on interexceedance time and gap of exceedances

Random sampling from spectral distribution on l1 sphere

Estimators of the extremal coefficient

Generate from extremal Dirichlet \(Y \sim {P_x}\), where \(P_{x}\) is the probability of extremal functions from a Dirichlet mixture

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

Simulation of generalized Huesler-Reiss Pareto vectors via composition sampling

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

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

Transform variogram matrix to covariance of conditional random field

Extended generalised Pareto families of Papastathopoulos and Tawn (functions)

N-year return levels, median and mean estimate

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

Generates from \(Q_i\), the spectral measure of the negative logistic model

Firth's modified score equation for the generalized Pareto distribution

Tangent exponential model statistics for the generalized Pareto distribution

River Nidd Flow

Simulate r-largest observations from point process of extremes

Information matrix test statistic and MLE for the extremal index

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

Poisson process of extremes.

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

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

Best 200 times of Women 1500m Track

French wind data

Extended generalised Pareto families

Eskdalemuir Observatory Daily Rainfall

Exponent measure for multivariate generalized Pareto distributions

Intensity function for the Brown-Resnick model

Generalized Pareto distribution

Bias correction for GEV distribution

Observed information matrix for GP distribution (return levels)

Cox-Snell first order bias for the GEV distribution

Smith's penultimate approximations

Plot of tangent exponential model profile likelihood

Information matrix for the Poisson process likelihood

Generalized Pareto distribution (expected shortfall parametrization)

Profile log-likelihood for the generalized extreme value distribution

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

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

Score vector for the Poisson process of threshold exceedances

Exact simulations of multivariate extreme value distributions

Random samples from spectral distributions of multivariate extreme value models.

Asymptotic bias of threshold exceedances for k order statistics

smith.penult.fn

Smith's third penultimate approximation

Observed information matrix for the GP distribution (expected shortfall)

Bridging the singularity for higher order asymptotics

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

Coefficient of tail correlation and tail dependence

Deaths from pandemics