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graphicalExtremes (version 0.3.2)

Statistical Methodology for Graphical Extreme Value Models

Description

Statistical methodology for sparse multivariate extreme value models. Methods are provided for exact simulation and statistical inference for multivariate Pareto distributions on graphical structures as described in the paper 'Graphical Models for Extremes' by Engelke and Hitz (2020) .

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install.packages('graphicalExtremes')

Monthly Downloads

569

Version

0.3.2

License

GPL-3

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Repository

https://github.com/sebastian-engelke/graphicalExtremes

Maintainer

Sebastian Engelke

Last Published

April 18th, 2024

Functions in graphicalExtremes (0.3.2)

complete_Gamma_one_step

Completion of two-clique decomposable Gamma matrices

complete_Gamma_decomposable

Completion of decomposable Gamma matrices

complete_Gamma_general_demo

DEMO-VERSION: Completion of non-decomposable Gamma matrices

complete_Gamma_general_split

Non-decomposable completion of variogram matrices

Learning extremal graph structure

Estimation of the variogram matrix \(\Gamma\) of a Huesler-Reiss distribution

Fitting extremal minimum spanning tree

ensure_matrix_symmetry

Ensure numerical matrix symmetry/zero values

fit_graph_to_Theta

Experimental: Fit graph using empirical Theta matrix

fmpareto_graph_HR_clique_average

HR Parameter fitting - Helper functions

generate_random_graphical_Gamma

Generate a random Gamma matrix for a given graph

fmpareto_HR_MLE

Parameter fitting for multivariate Huesler-Reiss Pareto distribution

emp_chi_multdim

Empirical estimation of extremal correlation \(\chi\)

Empirical estimation of extremal correlation matrix \(\chi\)

generate_random_Gamma

Generate a random Gamma matrix

get_cliques_and_separators_OLD

Get Cliques and Separators of a graph

Get package data

getSubMatrixForSubgraph

Get the submatrix corresponding to a subgraph

get_alert_function

Get alert function

Compute censored exponent measure

graphicalExtremes

graphicalExtremes: Statistical methodology for graphical extreme value models.

Create Gamma or Theta from vector

parToMatricesFactory

Factory: parToMatrices

Plot flight data

Sampling of a multivariate max-stable distribution

Convert matrix to graph

Marginalize multivariate Pareto dataset

Create a list of separators

Sampling of a multivariate max-stable distribution on a tree

Sampling of a multivariate Pareto distribution

simu_px_tree_HR

Simulate HR extremal functions on a tree

Split graph into invariant subgraphs

simu_px_dirichlet

Simulate Dirichlet extremal functions

simu_px_logistic

Simulate logistic extremal functions

check_split_by_sep

Identify pairs of vertices that are split by a separator

Transformation between \(\chi\) and \(\Gamma\)

Completion of Gamma matrices

HR parameter matrix checks

Compute exponent measure

Check input graph

check_partial_matrix_and_graph

Check input graph and partial matrix

Compute theoretical \(\chi\) in 3D

Computes the Z-matrix

Compute plot limits

Upper Danube basin dataset

Data standardization to multivariate Pareto scale

Learning extremal graph structure with latent variables

complete_Gamma_general

Non-decomposable completion of variogram matrices

Performs Gaussian likelihood optimization under Laplacian matrix constraints.

Find a separator set for two vertices

generate_random_chordal_graph

Generate random graphs

Fit value(s) in interval

fillFixedParams

Helper function to combine par with fixed params (in init)

Fast computation of diag(y %% M %% t(y))

fmpareto_graph_HR

Parameter fitting for Huesler-Reiss graphical models

flightCountMatrixToConnectionList

Convert flight counts to connection list

generate_random_integer_Gamma

Generate a random Gamma matrix containing only integers

Flights delay data

Get flight graph

generate_random_model

Generate random Huesler-Reiss Models

get_cliques_and_separators

Get Cliques and Separators of a graph

getFlightDelayData

Get filtered flight delays

generate_random_spd_matrix

Generate a random symmetric positive definite matrix

getDanubeFlowGraph

Get Danube flow graph

Compute Huesler-Reiss log-likelihood, AIC, and BIC

Number of cores to be used in parallel computations

Tolerances to be used in computations

Full censored log-likelihood of HR model

make_numeric_indices

Convert indices to numerical indices

Compute the exponent measure density of HR distribution

Plot Danube River Flow Data

Sampling of a multivariate Pareto distribution on a tree

Conversion between Huesler-Reiss parameter matrices

simu_px_neglogistic

Simulate negative logistic extremal functions

simu_px_tree_dirichlet

Simulate Dirichlet extremal functions on a tree

Simulate HR extremal functions

simu_px_tree_logistic

Simulate logistic extremal functions on a tree