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mev (version 2.0)

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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12,397

Version

2.0

License

GPL-3

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Repository

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

Homepage

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

Maintainer

Leo Belzile

Last Published

October 22nd, 2025

Functions in mev (2.0)

Transform variogram matrix to covariance of conditional random field

Wadsworth's univariate and bivariate exponential threshold diagnostics

Dirichlet mixture smoothing of the angular measure

Abisko rainfall

Rank-based transformation to angular measure

Estimation of the bivariate angular dependence function

Stein's vector of weights

Extreme U-statistic Pickands estimator

Bivariate angular dependence function for extrapolation based on rays

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

Confidence intervals for profile likelihood objects

.Joint_MLE_Expl

Joint maximum likelihood estimation for exponential model

Distance matrix with geometric anisotropy

Censored likelihood for multivariate peaks over threshold models

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.

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

Posterior predictive distribution and density for the GEV distribution

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

.fit.gpd.grimshaw

GP fitting function of Grimshaw (1993)

Distance matrix with geometric anisotropy

Internal function

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

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

Threshold selection via coefficient of variation

Maximum likelihood method for the generalized Pareto Model

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

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

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

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

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

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

Robust threshold selection of Dupuis

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

Multivariate extreme value distribution sampling algorithm via angular measure

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

Automated mean residual life plots

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

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

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

Random samples from asymmetric logistic distribution

Samples from exceedances at site (scaled extremal function definition)

.rPBrownResnick

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

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

Random sampling from spectral distribution on l1 sphere

Extended generalised Pareto families

Self-concordant empirical likelihood for a vector mean

Extended generalized Pareto distribution

Profile log likelihood for extended generalized Pareto models

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

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

Multivariate extreme value distribution sampling algorithm via extremal functions

Weighted empirical distribution function

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

Fit of extended GP models and parameter stability plots

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

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

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

Deprecated function for parameter stability plots

Fit an extended generalized Pareto distribution of Naveau et al.

Extended generalised Pareto log likelihood

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

Extremal index estimators

Exponent measure for multivariate generalized Pareto distributions

Eskdalemuir Observatory Daily Rainfall

Parameter stability plot and maximum likelihood routine for extended GP models

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

Estimators of the extremal coefficient

Fit an extended generalized Pareto distribution of Naveau et al.

Pairwise extremogram for max-risk functional

Extended GP functions

Maximum likelihood estimation for weighted generalized Pareto distribution

Estimator of the second order tail index parameter

Maximum likelihood estimation for the generalized Pareto distribution

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

Shape parameter estimates

Maximum likelihood estimation for the generalized extreme value distribution

French wind data

Maximum likelihood estimation of the point process of extremes

Magnetic storms

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

Generalized extreme value distribution

Information matrix for the generalized extreme value distribution

Cox-Snell first order bias for the GEV distribution

Profile log-likelihood for the generalized extreme value distribution

Asymptotic bias of block maxima for fixed sample sizes

Bias correction for GEV distribution

Generalized extreme value maximum likelihood estimates for various quantities of interest

N-year return levels, median and mean estimate

Log likelihood for the generalized extreme value distribution

Return level for the generalized extreme value distribution

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

Generalized extreme value distribution

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

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

Tangent exponential model approximation for the GEV distribution

Tangent exponential model statistics for the generalized extreme value distribution

Generalized Pareto distribution

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

Score vector for the generalized extreme value distribution

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

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

Asymptotic bias of threshold exceedances for k order statistics

Generalized extreme value distribution (return level parametrization)

Bias correction for GP distribution

Observed information matrix for GEV distribution (return levels)

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

Firth's modified score equation for the generalized Pareto distribution

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

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

Bootstrap approximation for generalized Pareto parameters

Generalized Pareto maximum likelihood estimates for various quantities of interest

Maximum likelihood estimate of generalized Pareto applied to threshold exceedances

Information matrix for the generalized Pareto distribution

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

Estimation of generalized Pareto parameters via L-moments

Tangent exponential model approximation for the GP distribution

Profile log-likelihood for the generalized Pareto distribution

Tangent exponential model statistics for the generalized Pareto distribution

Log likelihood for the generalized Pareto distribution

Score vector for the generalized Pareto distribution

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

Observed information matrix for the GP distribution (expected shortfall)

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

Generalized Pareto distribution (expected shortfall parametrization)

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

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

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

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

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

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

Generalized Pareto distribution

Transformation from the generalized Pareto to unit Pareto

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

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

Generalized Pareto distribution (return level parametrization)

Score vector for the GP distribution (expected shortfall)

Observed information matrix for GP distribution (return levels)

Interpret bivariate threshold exceedance models

Transform arguments using max stability

Estimators of the tail coefficient

Maiquetia Daily Rainfall

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

Estimation of the bivariate angular dependence function of Wadsworth and Tawn (2013)

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

Jacobian of the transformation from generalized Pareto to unit Pareto distribution

Smith's penultimate approximations

Intensity function for the Brown-Resnick model

Likelihood for multivariate peaks over threshold models

Plot of tangent exponential model profile likelihood

River Nidd Flow

Plot of (modified) profile likelihood

plot.mev_shape_rbm

Plots for random block maximum estimator

Information matrix test statistic and MLE for the extremal index

plot.mev_thselect_vmetric

Plots for Varty and al. metric-based threshold selection

Deaths from pandemics

Leeds air pollution

P-P plot for testing max stability

Poisson process of extremes.

plot.mev_thselect_wadsworth

Sequential analysis diagnostic plots for threshold selection

plot.mev_tstab_mrl

Mean residual life parameter stability plot

Weissman's quantile estimator

Information matrix for the Poisson process likelihood

Intensity function for the extremal Student model

Multivariate Normal distribution sampler

Log-likelihood of Poisson process of threshold exceedances

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

Second order tail index estimator of Goegebeur et al. (2008)

Second order tail index estimator of Gomes et al.

Second order tail index estimator of Fraga Alves et al. Estimator of the second order regular variation parameter \(\rho \leq 0\) parameter for heavy-tailed data proposed by Fraga Alves et al. (2003)

Simulation from generalized R-Pareto processes

Power variogram model

Information matrix for the r-largest observations.

Score vector for the Poisson process of threshold exceedances

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

Exact simulations of multivariate extreme value distributions

Second order tail index estimator of Drees and Kaufmann

Distribution of the r-largest observations

Score of the r-largest observations

Power exponential correlation model

Exponential regression estimator

Random samples from spectral distributions of multivariate extreme value models.

Simulation from R-Pareto processes

Multivariate Normal distribution sampler

Simulate r-largest observations from point process of extremes

schlather.vario

Variogram model of Schlather and Moreva

Simulation from Pareto processes using composition sampling

Generalized jackknife shape estimator

Simulation of generalized Huesler-Reiss Pareto vectors via composition sampling

Ramos and Ledford test of independence

Beirlant et al. generalized quantile shape estimator

Lower-trimmed Hill estimator for the shape parameter

Extreme U-statistic Pickands estimator

Hill's estimator of the shape parameter

de Vries shape estimator

Smith's penultimate approximations

Trimmed Hill estimator for the shape parameter

Random block maxima shape estimator of Wager

Dekkers and de Haan moment estimator for the shape

Pickand's shape estimator

Stein's weighted generalized Pareto likelihood

Semi-parametric marginal transformation to uniform

Lower truncated Hill threshold selection

Bridging the singularity for higher order asymptotics

test.scoreindep

Ramos and Ledford test of independence

Automatic L-moment ratio selection method

Coefficient of tail correlation and tail dependence

P-P plot for testing max stability

Spline correction for Fraser-Reid approximations

smith.penult.fn

Smith's third penultimate approximation

Northop and Coleman piecewise generalized Pareto threshold selection diagnostic

thselect.expgqt

Generalized quantile threshold selection

Threshold selection via coefficient of variation

Prediction error C-criterion threshold selection method

Kernel-based threshold selection of Goegebeur, Beirlant and de Wet (2008)

Mahalanobis distance-based methodology

Minimum distance threshold selection procedure

Automated mean residual life plots

thselect.pickands

Pickands' order statistics threshold selection method

Threshold selection for the random block maxima method

thselect.vmetric

Metric-based threshold selection

Threshold stability plot for Hill estimator

Mean residual life plot

Coefficient of variation threshold stability plot

Wadsworth's sequential analysis threshold selection

thselect.sdinfo

Threshold selection diagnostic of Suveges and Davison

thselect.samsee

Threshold selection via SAMSEE

Threshold stability plots for left-truncated Hill estimators

Threshold stability plots for extended generalized Pareto models

Parameter stability plots for peaks-over-threshold

Coefficient of tail correlation

Coefficient of extremal asymmetry

Coefficient of extremal asymmetry

Venice Sea Levels

Best 200 times of Women 1500m Track

Coefficient chi-bar

Extremal index estimators

Coefficient of tail dependence