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texmex (version 1.1)

Threshold exceedences and multivariate extremes

Description

Conditional multivariate extreme value modelling using the approach of Heffernan and Tawn.

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Version

Install

install.packages('texmex')

Monthly Downloads

523

Version

1.1

License

GPL (>= 2) | BSD

Maintainer

Harry Southworth

Last Published

September 28th, 2011

Functions in texmex (1.1)

mex

Conditional multivariate extreme values modelling

chi

Measures of extremal dependence

migpd

Fit multiple independent generalized Pareto models

migpdCoefs

Change values of parameters in a migpd object

mexDependence

Estimate the dependence parameters in a conditional multivariate extreme values model

bgpdSetSeed

Set the seed from a fited bgpd object.

texmex-internal

Internal functions for texmex

gpdRangeFit

Estimate generalized Pareto distribution parameters over a range of values

bootmex

Bootstrap a conditional multivariate extreme values model

winter

Air pollution data, winter months.

bootgpd

Parametric bootstrap for generalized Pareto models

mrlPlot

Mean residual life plot

copula

Get the copula of a matrix of variables

rain

Rain and wavesurge datasets.

mexRangeFit

Estimate dependence parameters in a conditional multivariate extreme values model over a range of thresholds.

MCS

Multivariate conditional Spearman's rho

thinAndBurn

Process Metropolis output from GPD fitting to discard unwanted observations.

edf

Computje empirical distributino function

gpd

Generalized Pareto distribution modelling

summer

Air pollution data, summer months.

validate.texmex

Validate the texmex package

dgpd

Density, cumulative density, quantiles and random number generation for the generalized Pareto distribution

liver

Liver related laboratory data

texmex-package

Conditional multivariate extreme values modelling.