texmex: Statistical Modelling of Extreme Values
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 (2003) <doi:10.1111/1467-9868.00401> 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 (2004) <doi:10.1111/j.1467-9868.2004.02050.x>, with graphical tools for
threshold selection and to diagnose estimation convergence.
| Version: |
2.4.8 |
| Depends: |
mvtnorm, ggplot2, stats |
| Imports: |
Rcpp (≥ 0.12.18) |
| LinkingTo: |
Rcpp |
| Suggests: |
MASS, gridExtra, parallel, lattice, knitr, rmarkdown, dplyr, tidyr, testthat, devtools, survival, ismev |
| Published: |
2020-12-04 |
| Author: |
Harry Southworth [aut, cre],
Janet E. Heffernan [aut],
Paul D. Metcalfe [aut],
Yiannis Papastathopoulos [ctb],
Alec Stephenson [ctb],
Stuart Coles [ctb] |
| Maintainer: |
Harry Southworth <harry.southworth at gmail.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://github.com/harrysouthworth/texmex |
| NeedsCompilation: |
yes |
| Citation: |
texmex citation info |
| Materials: |
README |
| In views: |
ExtremeValue |
| CRAN checks: |
texmex results |
Documentation:
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