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mev (version 1.17)

Modelling of Extreme Values

Description

Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes [Dombry, Engelke and Oesting (2016) , R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, ) and Extremal Student (Thibaud and Opitz, 2015, ). Threshold selection methods, including Wadsworth (2016) , and Northrop and Coleman (2014) . Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) .

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install.packages('mev')

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1,547

Version

1.17

License

GPL-3

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Last Published

July 9th, 2024

Functions in mev (1.17)

clikmgp

Censored likelihood for multivariate peaks over threshold models
confint.eprof

Confidence intervals for profile likelihood objects
distg

Distance matrix with geometric anisotropy
cvselect

Threshold selection via coefficient of variation
.fit.gpd.rob

Robust threshold selection of Dupuis
.Joint_MLE_NHPP

Joint maximum likelihood for the non-homogeneous Poisson Process
.C1

Contrast matrix
.Joint_MLE_Expl

Joint maximum likelihood estimation for exponential model
.fit.gpd.grimshaw

GP fitting function of Grimshaw (1993)
.exp_info_algebraic

Algebraic calculation of the expected information
.rPbilog

Generate from bilogistic \(Y \sim {P_x}\), where \(P_{x}\) is the probability of extremal functions
.mvrnorm_arma

Multivariate Normal distribution sampler (Rcpp version), derived using the eigendecomposition of the covariance matrix Sigma. The function utilizes the arma random normal generator
.is.CNSD

Is the matrix conditionally negative semi-definite? Function adapted from 'is.CNSD' in the CEGO package, v 2.1.0
.rPdir

Generate from extremal Dirichlet \(Y \sim {P_x}\), where \(P_{x}\) is the probability of extremal functions from the Dirichlet model of Coles and Tawn.
.mvasym.check

Internal function
.gev.postpred

Posterior predictive distribution and density for the GEV distribution
.rPexstud

Generate from extremal Student-t \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function
.rPsite

Samples from exceedances at site (scaled extremal function definition)
.rPSmith

Generate from Smith model (moving maxima) \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function
.rPdirmix

Generate from extremal Dirichlet \(Y \sim {P_x}\), where \(P_{x}\) is the probability of extremal functions from a Dirichlet mixture
.rbilogspec

Generates from \(Q_i\), the spectral measure of the bilogistic model
.rPHuslerReiss

Generate from extremal Husler-Reiss distribution \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function
.rsmithspec

Generates from \(Q_i\), the spectral measure of the Smith model (moving maxima)
.rmevasy

Random samples from asymmetric logistic distribution
.rmevspec_cpp

Random sampling from spectral distribution on l1 sphere
.rdirmixspec

Generates from \(Q_i\), the spectral measure of the Dirichlet mixture model
.rpairexpspec

Generates from \(Q_i\), the spectral measure of the pairwise exponential model
.rbrspec

Generates from \(Q_i\), the spectral measure of the Brown-Resnick model
.gpd_2D_fit

Maximum likelihood method for the generalized Pareto Model
egp-function

Extended generalised Pareto families of Papastathopoulos and Tawn (functions)
.rhrspec

Generates from \(Q_i\), the spectral measure of the Husler-Reiss model
egp.fitrange

Deprecated function for parameter stability plots
egp

Extended generalised Pareto families
.rmevA2

Multivariate extreme value distribution sampling algorithm via extremal functions
.rPlog

Generate from logistic \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function scaled by a Frechet variate
.rmevA1

Multivariate extreme value distribution sampling algorithm via angular measure
egp.fit

Fit of extended GP models and parameter stability plots
.rPneglog

Generate from negative logistic \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function scaled by a Frechet variate
.rlogspec

Generates from \(Q_i\), the spectral measure of the logistic model
.score_algebraic

Algebraic score
.wecdf

Weighted empirical distribution function
emplik

Self-concordant empirical likelihood for a vector mean
extremo

Pairwise extremogram for max-risk functional
.rPBrownResnick

Generate from Brown-Resnick process \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function
fit.egp

Parameter stability plot and maximum likelihood routine for extended GP models
fit.extgp

Fit an extended generalized Pareto distribution of Naveau et al.
extgp

Extended generalised Pareto families of Naveau et al. (2016)
extgp.G

Carrier distribution for the extended GP distributions of Naveau et al.
pextgp.G

Extended GP functions
egp2.fit

Fit an extended generalized Pareto distribution of Naveau et al.
extcoef

Estimators of the extremal coefficient
ext.index

Extremal index estimators based on interexceedance time and gap of exceedances
gev

Generalized extreme value distribution
gev.Nyr

N-year return levels, median and mean estimate
.rpairbetaspec

Generates from \(Q_i\), the spectral measure of the pairwise Beta model
.rdirspec

Generates from \(Q_i\), the spectral measure of the extremal Dirichlet model
.rwdirbsspec

Generates from \(Q_i\), the spectral measure of the weighted Dirichlet model
.rneglogspec

Generates from \(Q_i\), the spectral measure of the negative logistic model
.rwexpbsspec

Generates from \(Q_i\), the spectral measure of the weighted exponential model
.rexstudspec

Generates from \(Q_i\), the spectral measure of the extremal Student model
gev.Fscore

Firth's modified score equation for the generalized extreme value distribution
fit.gev

Maximum likelihood estimation for the generalized extreme value distribution
gev.abias

Asymptotic bias of block maxima for fixed sample sizes
gev.mle

Generalized extreme value maximum likelihood estimates for various quantities of interest
fit.pp

Maximum likelihood estimation of the point process of extremes
gevr.infomat

Observed information matrix for GEV distribution (return levels)
gev.pll

Profile log-likelihood for the generalized extreme value distribution
fit.gpd

Maximum likelihood estimation for the generalized Pareto distribution
gevr.ll

Negative log likelihood of the generalized extreme value distribution (return levels)
fit.rlarg

Maximum likelihood estimates of point process for the r-largest observations
gev.bcor

Bias correction for GEV distribution
gev.infomat

Information matrix for the generalized extreme value distribution
gpd.bcor

Bias correction for GP distribution
gev.ll

log likelihood for the generalized extreme value distribution
gev.tem

Tangent exponential model approximation for the GEV distribution
gevdist

Generalized extreme value distribution
gev.temstat

Tangent exponential model statistics for the generalized extreme value distribution
gpd.boot

Bootstrap approximation for generalized Pareto parameters
gpd.infomat

Information matrix for the generalized Pareto distribution
gev.bias

Cox-Snell first order bias for the GEV distribution
gevN.temstat

Tangent exponential model statistics for the generalized Pareto distribution (mean of maximum of N exceedances parametrization)
gevN.ll

Negative log likelihood of the generalized extreme value distribution (quantile/mean of N-block maxima parametrization)
gevN.score

Score of the generalized extreme value distribution (quantile/mean of N-block maxima parametrization)
gpd.pll

Profile log-likelihood for the generalized Pareto distribution
gpd.score

Score vector for the generalized Pareto distribution
gpdN

Generalized Pareto distribution (mean of maximum of N exceedances parametrization)
gpdN.infomat

Information matrix of the generalized Pareto distribution (mean of maximum of N exceedances parametrization)
gpd.bias

Cox-Snell first order bias expression for the generalized Pareto distribution
gpd.tem

Tangent exponential model approximation for the GP distribution
gpde.ll

Negative log likelihood of the generalized Pareto distribution (expected shortfall)
gpdN.temstat

Tangent exponential model statistics for the generalized Pareto distribution (mean of maximum of N exceedances parametrization)
gpd.temstat

Tangent exponential model statistics for the generalized Pareto distribution
gpde.infomat

Observed information matrix for the GP distribution (expected shortfall)
gevN.mean

This function returns the mean of N observations from the GEV.
gpdN.ll

Negative log likelihood of the generalized Pareto distribution (mean of maximum of N exceedances parametrization)
gpdN.mean

This function returns the mean of N maxima from the GP.
gpd.Fscore

Firth's modified score equation for the generalized Pareto distribution
gp.fit

Maximum likelihood estimate of generalized Pareto applied to threshold exceedances
gpde

Generalized Pareto distribution (expected shortfall parametrization)
intensXstud

Intensity function for the extremal Student model
gpdN.quant

This function returns the qth percentile of N maxima from the GP.
gpdr.temstat

Tangent exponential model statistics for the generalized Pareto distribution (return level)
gpdr.score

Score of the profile log likelihood for the GP distribution (return levels parametrization)
gpdr.infomat

Observed information matrix for GP distribution (return levels)
gpdr.ll

Negative log likelihood of the generalized Pareto distribution (return levels)
gpdN.score

Score vector of the generalized Pareto distribution (mean of maximum of N exceedances parametrization)
eskrain

Eskdalemuir Observatory Daily Rainfall
geomagnetic

Magnetic storms
nidd

River Nidd Flow
mvrnorm

Multivariate Normal distribution sampler
plot.fr

Plot of tangent exponential model profile likelihood
expme

Exponent measure for multivariate generalized Pareto distributions
frwind

French wind data
jac

Jacobian of the transformation from generalized Pareto to unit Pareto distribution
plot.eprof

Plot of (modified) profile likelihood
infomat.test

Information matrix test statistic and MLE for the extremal index
rgparp

Simulation from generalized R-Pareto processes
intensBR

Intensity function for the Brown-Resnick model
rdir

Random variate generation for Dirichlet distribution on \(S_{d}\)
gpdr

Generalized Pareto distribution (return level parametrization)
gpdist

Generalized Pareto distribution
nutrients

Nutrient data
pandemics

Deaths from pandemics
rlarg

Distribution of the r-largest observations
gevN

Generalized extreme value distribution (quantile/mean of N-block maxima parametrization)
gev.score

Score vector for the generalized extreme value distribution
pp.ll

Log-likelihood of Poisson process of threshold exceedances
rlarg.infomat

Information matrix for the r-largest observations.
gev.retlev

Return level for the generalized extreme value distribution
pp.score

Score vector for the Poisson process of threshold exceedances
rparpcs

Simulation from Pareto processes using composition sampling
rparp

Simulation from R-Pareto processes
gevN.infomat

Information matrix of the generalized extreme value distribution (quantile/mean of N-block maxima parametrization)
schlather.vario

Variogram model of Schlather and Moreva
likmgp

Likelihood for multivariate peaks over threshold models
lambdadep

Estimation of the bivariate angular dependence function of Wadsworth and Tawn (2013)
pp

Poisson process of extremes.
pp.infomat

Information matrix for the Poisson process likelihood
gevr

Generalized extreme value distribution (return level parametrization)
gevr.score

Score of the log likelihood for the GEV distribution (return levels)
gevr.temstat

Tangent exponential model statistics for the GEV distribution (return level)
gpde.score

Score vector for the GP distribution (expected shortfall)
rparpcshr

Simulation of generalized Huesler-Reiss Pareto vectors via composition sampling
taildep

Coefficient of tail correlation and tail dependence
rrlarg

Simulate r-largest observations from point process of extremes
spunif

Semi-parametric marginal transformation to uniform
spline.corr

Spline correction for Fraser-Reid approximations
gpd.ll

Log likelihood for the generalized Pareto distribution
gpd.mle

Generalized Pareto maximum likelihood estimates for various quantities of interest
gpd

Generalized Pareto distribution
gpd.abias

Asymptotic bias of threshold exceedances for k order statistics
vmetric.diag

Metric-based threshold selection
xasym

Coefficient of extremal asymmetry
gpdtopar

Transformation from the generalized Pareto to unit Pareto
tem.corr

Bridging the singularity for higher order asymptotics
w1500m

Best 200 times of Women 1500m Track
maiquetia

Maiquetia Daily Rainfall
smith.penult

Smith's penultimate approximations
scoreindep

Ramos and Ledford test of independence
gpde.temstat

Tangent exponential model statistics for the generalized Pareto distribution (expected shortfall)
smith.penult.fn

Smith's third penultimate approximation
ibvpot

Interpret bivariate threshold exceedance models
rlarg.ll

Log-likelihood of the point process of r-largest observations
rlarg.score

Score of the r-largest observations
maxstabtest

P-P plot for testing max stability
powerexp.cor

Power exponential correlation model
rmev

Exact simulations of multivariate extreme value distributions
power.vario

Power variogram model
venice

Venice Sea Levels
tstab.gpd

Parameter stability plots for peaks-over-threshold
rmevspec

Random samples from spectral distributions of multivariate extreme value models.
Lambda2cov

Transform variogram matrix to covariance of conditional random field
PickandsXU

Extreme U-statistic Pickands estimator
abisko

Abisko rainfall
automrl

Automated mean residual life plots
angmeas

Rank-based transformation to angular measure
NC.diag

Score and likelihood ratio tests fit of equality of shape over multiple thresholds
angmeasdir

Dirichlet mixture smoothing of the angular measure
W.diag

Wadsworth's univariate and bivariate exponential threshold diagnostics
angextrapo

Bivariate angular dependence function for extrapolation based on rays
chibar

Parametric estimates of \(\bar{\chi}\)