ExtremalDep: Extremal Dependence Models

A set of procedures for modelling parametrically and non-parametrically the dependence structure of multivariate extreme-values is provided. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and Bayesian techniques. Adapts the methodologies derived in Beranger et al. (2019) <arXiv:1904.08251>, Beranger et al. (2017) <doi:10.1111/sjos.12240>, Beranger and Padoan (2015) <arXiv:1508.05561>, Marcon et al. (2017) <doi:10.1002/sta4.145>, Marcon et al. (2017) <doi:10.1016/j.jspi.2016.10.004> and Marcon et al. (2016) <doi:10.1214/16-EJS1162>. It also refers to the works of Bortot (2010) <https://www.semanticscholar.org/paper/Tail-dependence-in-bivariate-skew-Normal-and-skew-t-Bortot/b0dc1cb608d35bf515c76e39aacc14b4de82e281?p2df>, Padoan (2011) <doi:10.1016/j.jmva.2011.01.014>, Cooley et al. (2010) <doi:10.1016/j.jmva.2010.04.007>, Husler and Reiss (1989) <doi:10.1016/0167-7152(89)90106-5>, Engelke et al. (2015) <doi:10.1111/rssb.12074>, Coles and Tawn (1991) <doi:10.1111/j.2517-6161.1991.tb01830.x>, Nikoloulopoulos et al. (2011) <doi:10.1007/s10687-008-0072-4>, Opitz (2013) <doi:10.1016/j.jmva.2013.08.008>, Tawn (1990) <doi:10.2307/2336802>, Azzalini and Capitanio (2014) <doi:10.1017/CBO9781139248891>, Azzalini (2003) <doi:10.1111/1467-9469.00322>, Azzalini and Capitanio (1999) <doi:10.1111/1467-9868.00194>, Azzalini and Dalla Valle (1996) <doi:10.1093/biomet/83.4.715>, Einmahl et al. (2013) <doi:10.1007/s10687-012-0156-z>, Naveau et al (2009) <doi:10.1093/biomet/asp001> and Heffernan and Tawn (2004) <doi:10.1111/j.1467-9868.2004.02050.x>.

Version: 0.0.3-5
Depends: R (≥ 2.10)
Imports: numDeriv, evd, sn, quadprog, copula, nloptr, gtools, mvtnorm, fda
Published: 2022-05-09
Author: Boris Beranger ORCID iD [aut], Simone Padoan ORCID iD [cre, aut], Giulia Marcon [aut], Steven G. Johnson [ctb] (Author of included cubature fragments)
Maintainer: Simone Padoan <simone.padoan at unibocconi.it>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://mypage.unibocconi.it/simonepadoan/
NeedsCompilation: yes
In views: ExtremeValue
CRAN checks: ExtremalDep results

Documentation:

Reference manual: ExtremalDep.pdf

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Package source: ExtremalDep_0.0.3-5.tar.gz
Windows binaries: r-devel: ExtremalDep_0.0.3-5.zip, r-release: ExtremalDep_0.0.3-5.zip, r-oldrel: ExtremalDep_0.0.3-5.zip
macOS binaries: r-release (arm64): ExtremalDep_0.0.3-5.tgz, r-oldrel (arm64): ExtremalDep_0.0.3-5.tgz, r-release (x86_64): ExtremalDep_0.0.3-5.tgz, r-oldrel (x86_64): ExtremalDep_0.0.3-5.tgz
Old sources: ExtremalDep archive

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