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mev (version 2.1)

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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6,743

Version

2.1

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 11th, 2025

Functions in mev (2.1)

Stein's vector of weights

Abisko rainfall

Dirichlet mixture smoothing of the angular measure

Extreme U-statistic Pickands estimator

Wadsworth's univariate and bivariate exponential threshold diagnostics

Bivariate angular dependence function for extrapolation based on rays

Transform variogram matrix to covariance of conditional random field

Estimation of the bivariate angular dependence function

Rank-based transformation to angular measure

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

Distance matrix with geometric anisotropy

Distance matrix with geometric anisotropy

Confidence intervals for profile likelihood objects

Threshold selection via coefficient of variation

Censored likelihood for multivariate peaks over threshold models

.Joint_MLE_Expl

Joint maximum likelihood estimation for exponential model

Posterior predictive distribution and density for the GEV distribution

Robust threshold selection of Dupuis

.fit.gpd.grimshaw

GP fitting function of Grimshaw (1993)

Automated mean residual life plots

Internal function

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

.rPBrownResnick

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

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

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

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

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

Maximum likelihood method for the generalized Pareto Model

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

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

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

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

Generate from negative 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 bilogistic model

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

Samples from exceedances at site (scaled extremal function definition)

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

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

Multivariate extreme value distribution sampling algorithm via extremal functions

Random samples from asymmetric logistic distribution

Multivariate extreme value distribution sampling algorithm via angular measure

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

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

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

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

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

Profile log likelihood for extended generalized Pareto models

Random sampling from spectral distribution on l1 sphere

Extended generalized Pareto distribution

Self-concordant empirical likelihood for a vector mean

Extended generalised Pareto families

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

Weighted empirical distribution function

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

Extended generalised Pareto log likelihood

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

Fit an extended generalized Pareto distribution of Naveau et al.

Deprecated function for parameter stability plots

Fit of extended GP models and parameter stability plots

Pairwise extremogram for max-risk functional

Eskdalemuir Observatory Daily Rainfall

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

Estimators of the extremal coefficient

Parameter stability plot and maximum likelihood routine for extended GP models

Fit an extended generalized Pareto distribution of Naveau et al.

Exponent measure for multivariate generalized Pareto distributions

Extremal index estimators

Estimator of the second order tail index parameter

Maximum likelihood estimation of the point process of extremes

Maximum likelihood estimation for the generalized extreme value distribution

Shape parameter estimates

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

N-year return levels, median and mean estimate

Extended GP functions

Magnetic storms

Profile log-likelihood for the generalized extreme value distribution

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

Generalized extreme value distribution

Maximum likelihood estimation for the generalized Pareto distribution

French wind data

Return level for the generalized extreme value distribution

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

Maximum likelihood estimation for weighted generalized Pareto distribution

Generalized extreme value maximum likelihood estimates for various quantities of interest

Cox-Snell first order bias for the GEV distribution

Log likelihood for the generalized extreme value distribution

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

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

Tangent exponential model approximation for the GEV distribution

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

Score vector for the generalized extreme value distribution

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

Tangent exponential model statistics for the generalized extreme value distribution

Generalized extreme value distribution

Asymptotic bias of block maxima for fixed sample sizes

Maximum likelihood estimate of generalized Pareto applied to threshold exceedances

Generalized extreme value distribution (return level parametrization)

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

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

Bias correction for GEV distribution

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

Information matrix for the generalized extreme value distribution

Bias correction for GP distribution

Asymptotic bias of threshold exceedances for k order statistics

Generalized Pareto distribution

Firth's modified score equation for the generalized Pareto distribution

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

Observed information matrix for GEV distribution (return levels)

Profile log-likelihood for the generalized Pareto distribution

Generalized Pareto maximum likelihood estimates for various quantities of interest

Estimation of generalized Pareto parameters via L-moments

Information matrix for the generalized Pareto distribution

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

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

Log likelihood for the generalized Pareto distribution

Score vector for the generalized Pareto distribution

Tangent exponential model approximation for the GP distribution

Bootstrap approximation for generalized Pareto parameters

Tangent exponential model statistics for the generalized Pareto distribution

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

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

Generalized Pareto distribution (expected shortfall parametrization)

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

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 (mean of maximum of N exceedances parametrization)

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

Score vector for the GP distribution (expected shortfall)

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

Observed information matrix for the GP distribution (expected shortfall)

Observed information matrix for GP distribution (return levels)

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

Generalized Pareto distribution

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

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

Intensity function for the Brown-Resnick model

Leeds air pollution

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

Information matrix test statistic and MLE for the extremal index

Generalized Pareto distribution (return level parametrization)

Maiquetia Daily Rainfall

Transform arguments using max stability

Estimators of the tail coefficient

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

Likelihood for multivariate peaks over threshold models

Transformation from the generalized Pareto to unit Pareto

Plot of (modified) profile likelihood

Plot of tangent exponential model profile likelihood

Interpret bivariate threshold exceedance models

plot.mev_thselect_vmetric

Plots for Varty and al. metric-based threshold selection

Smith's penultimate approximations

Deaths from pandemics

River Nidd Flow

plot.mev_shape_rbm

Plots for random block maximum estimator

Multivariate Normal distribution sampler

Jacobian of the transformation from generalized Pareto to unit Pareto distribution

P-P plot for testing max stability

Intensity function for the extremal Student model

Poisson process of extremes.

plot.mev_tstab_mrl

Mean residual life parameter stability plot

plot.mev_thselect_wadsworth

Sequential analysis diagnostic plots for threshold selection

Weissman's quantile estimator

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

Power exponential correlation model

Log-likelihood of Poisson process of threshold exceedances

Information matrix for the Poisson process likelihood

Power variogram model

Score vector for the Poisson process of threshold exceedances

Second order tail index estimator of Drees and Kaufmann

Information matrix for the r-largest observations.

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

Distribution of the r-largest observations

Exact simulations of multivariate extreme value distributions

Simulation from generalized R-Pareto processes

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)

Second order tail index estimator of Gomes et al.

Score of the r-largest observations

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

Simulation of generalized Huesler-Reiss Pareto vectors via composition sampling

Exponential regression estimator

Generalized jackknife shape estimator

Simulation from R-Pareto processes

Simulation from Pareto processes using composition sampling

Multivariate Normal distribution sampler

Random samples from spectral distributions of multivariate extreme value models.

Simulate r-largest observations from point process of extremes

Ramos and Ledford test of independence

schlather.vario

Variogram model of Schlather and Moreva

Random block maxima shape estimator of Wager

Dekkers and de Haan moment estimator for the shape

Extreme U-statistic Pickands estimator

Lower-trimmed Hill estimator for the shape parameter

de Vries shape estimator

Beirlant et al. generalized quantile shape estimator

Smith's penultimate approximations

Trimmed Hill estimator for the shape parameter

Hill's estimator of the shape parameter

Pickand's shape estimator

P-P plot for testing max stability

Coefficient of tail correlation and tail dependence

Semi-parametric marginal transformation to uniform

Lower truncated Hill threshold selection

Automatic L-moment ratio selection method

Bridging the singularity for higher order asymptotics

test.scoreindep

Ramos and Ledford test of independence

smith.penult.fn

Smith's third penultimate approximation

Spline correction for Fraser-Reid approximations

Stein's weighted generalized Pareto likelihood

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

Threshold selection by shape mean square error minimization

Prediction error C-criterion threshold selection method

Mahalanobis distance-based methodology

Threshold selection based on extended generalized Pareto models

Northop and Coleman piecewise generalized Pareto threshold selection diagnostic

Threshold selection via coefficient of variation

Minimum distance threshold selection procedure

Automated mean residual life plots

thselect.expgqt

Generalized quantile threshold selection

thselect.samsee

Threshold selection via SAMSEE

Coefficient of variation threshold stability plot

thselect.vmetric

Metric-based threshold selection

thselect.pickands

Pickands' order statistics threshold selection method

Threshold stability plots for extended generalized Pareto models

Parameter stability plots for peaks-over-threshold

Wadsworth's sequential analysis threshold selection

Threshold selection for the random block maxima method

thselect.sdinfo

Threshold selection diagnostic of Suveges and Davison

Threshold stability plot for Hill estimator

Venice Sea Levels

Threshold stability plots for left-truncated Hill estimators

Coefficient of extremal asymmetry

Coefficient of extremal asymmetry

Mean residual life plot

Extremal index estimators

Best 200 times of Women 1500m Track

Coefficient of tail dependence

Coefficient chi-bar

Coefficient of tail correlation