mev-package: Multivariate Extreme Value Distributions
Description
Exact simulation from max-stable processes and multivariate extreme value distributions for various parametric models.
Arguments
concept
multivariate extreme value
exact simulation
max-stable process
logistic
Dirichlet
extremal Student process
Dirichlet mixture
Coles and Tawn model
bilogistic
negative logistic
negative bilogistic
Brown-Resnick process
Details
The package allows exact generation of multivariate extreme value
vectors or max-stable processes. For the latter, the user can provide a
variogram function along with a set of locations that serve as input. Models
implemented include the 1-parameter logistic and negative logistic as described
in the article, the bilogistic and Coles and Tawn extremal Dirichlet model using
the algorithm of Boldi (2009) and the Dirichlet mixture.
The extremal Student and Husler-Reiss (Brown-Resnick) models are also implemented.
A Dirichlet and a multinormal generator are part of the internal functions and are
exported.
References
Dombry, Engelke and Oesting (2015)
Exact simulation of max-stable processes
arXiv:1506.04430v1, 1--24.
Boldi (2009). A note on the representation of parametric
models for multivariate extremes. Extremes12, 211--218.