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texmex (version 2.1)

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

523

Version

2.1

License

GPL (>= 2)

Maintainer

Harry Southworth

Last Published

December 31st, 2013

Functions in texmex (2.1)

Extremal index estimation and automatic declustering

Estimate generalized Pareto distribution parameters over a range of values

Compute empirical distribution function

Extreme value modelling

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

Mean residual life plot

Measures of extremal dependence

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

Conditional multivariate extreme values modelling

summer and winter data

Air pollution data, separately for summer and winter months

Set the seed from a fitted evmSim object.

Create families of distributions

Estimate the dependence parameters in a conditional multivariate extreme values model

Multivariate conditional Spearman's rho

Fit multiple independent generalized Pareto models

texmex-internal

Internal functions for texmex

Calculate upper end point for a fitted extreme value model

Bootstrap a conditional multivariate extreme values model

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

Change values of parameters in a migpd object

Extreme value modelling

Worker functions for prediction

Methods for texmex objects

Calculate the copula of a matrix of variables

rain, wavesurge and portpirie

Rain, wavesurge and portpirie datasets.

Liver related laboratory data

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

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

Worker functions for texmex