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texmex (version 2.0)

Statistical modelling of extreme values

Description

Statistical extreme value modelling of threshold excesses, maxima and multivariate extremes. Univariate models for threshold excesses and maxima are the Generalised Pareto, and Generalised Extreme Value model respectively. These models may be fitted by using maximum (optionally penalised-)likelihood, or Bayesian estimation, and both classes of models may be fitted with covariates in any/all model parameters. Model diagnostics support the fitting process. Graphical output for visualising fitted models and return level estimates is provided. For serially dependent sequences, the intervals declustering algorithm of Ferro and Segers is provided, with diagnostic support to aid selection of threshold and declustering horizon. Multivariate modelling is performed via the conditional approach of Heffernan and Tawn, with graphical tools for threshold selection and to diagnose estimation convergence.

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Version

Install

install.packages('texmex')

Monthly Downloads

332

Version

2.0

License

GPL (>= 2)

Maintainer

Harry Southworth

Last Published

November 25th, 2013

Functions in texmex (2.0)

evm

Extreme value modelling
copula

Calculate the copula of a matrix of variables
bootmex

Bootstrap a conditional multivariate extreme values model
mexRangeFit

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

Predict return levels from extreme value models, or obtain the linear predictors.
migpdCoefs

Change values of parameters in a migpd object
texmex-internal

Internal functions for texmex
chi

Measures of extremal dependence
mex

Conditional multivariate extreme values modelling
edf

Compute empirical distribution function
summer and winter data

Air pollution data, separately for summer and winter months
migpd

Fit multiple independent generalized Pareto models
dgpd

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

Rain, wavesurge and portpirie datasets.
texmexFamily

Create families of distributions
methods

Methods for texmex objects
liver

Liver related laboratory data
extremalIndex

Extremal index estimation and automatic declustering
texmexWorkers

Worker functions for texmex
predictWorkers

Worker functions for prediction
rl

Return levels
mexDependence

Estimate the dependence parameters in a conditional multivariate extreme values model
texmex-package

Extreme value modelling
dgev

Density, cumulative density, quantiles and random number generation for the generalized extreme value distribution
gpdRangeFit

Estimate generalized Pareto distribution parameters over a range of values
thinAndBurn

Process Metropolis output from extreme value model fitting to discard unwanted observations.
evmSimSetSeed

Set the seed from a fitted evmSim object.
mrl

Mean residual life plot
endPoint

Calculate upper end point for a fitted extreme value model
MCS

Multivariate conditional Spearman's rho