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texmex (version 1.3)

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

1.3

License

GPL (>= 2) | BSD

Maintainer

Harry Southworth

Last Published

August 13th, 2012

Functions in texmex (1.3)

mexDependence

Estimate the dependence parameters in a conditional multivariate extreme values model
thinAndBurn

Process Metropolis output from GPD fitting to discard unwanted observations.
bgpdSetSeed

Set the seed from a fitted bgpd object.
edf

Compute empirical distribution function
gpdRangeFit

Estimate generalized Pareto distribution parameters over a range of values
migpd

Fit multiple independent generalized Pareto models
methods

Methods for texmex objects
validate.texmex

Validate the texmex package
mrlPlot

Mean residual life plot
mex

Conditional multivariate extreme values modelling
chi

Measures of extremal dependence
copula

Calculate the copula of a matrix of variables
MCS

Multivariate conditional Spearman's rho
migpdCoefs

Change values of parameters in a migpd object
bootgpd

Parametric bootstrap for generalized Pareto models
texmex-package

Conditional multivariate extreme values modelling.
liver

Liver related laboratory data
texmex-internal

Internal functions for texmex
bootmex

Bootstrap a conditional multivariate extreme values model
mexRangeFit

Estimate dependence parameters in a conditional multivariate extreme values model over a range of thresholds.
summer and winter data

Air pollution data, separately for summer and winter months
extremalIndex

Extremal index estimation and automatic declustering
dgpd

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

Return levels
gpd

Generalized Pareto distribution modelling
endPoint

Calculate upper end point for fitted GPD
rain and wavesurge

Rain and wavesurge datasets.
predict.gpd

Predict return levels from Generalized Pareto Distribution models, or obtain the linear predictors.