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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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1,589

Version

1.17

License

GPL-3

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Repository

https://github.com/lbelzile/mev/

Homepage

https://lbelzile.github.io/mev/

Maintainer

Last Published

July 9th, 2024

Functions in mev (1.17)

Censored likelihood for multivariate peaks over threshold models

Confidence intervals for profile likelihood objects

Distance matrix with geometric anisotropy

Threshold selection via coefficient of variation

Robust threshold selection of Dupuis

.Joint_MLE_NHPP

Joint maximum likelihood for the non-homogeneous Poisson Process

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

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

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

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

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.

Internal function

Posterior predictive distribution and density for the GEV distribution

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

Samples from exceedances at site (scaled extremal function definition)

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

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

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

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

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

Random samples from asymmetric logistic distribution

Random sampling from spectral distribution on l1 sphere

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

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

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

Maximum likelihood method for the generalized Pareto Model

Extended generalised Pareto families of Papastathopoulos and Tawn (functions)

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

Deprecated function for parameter stability plots

Extended generalised Pareto families

Multivariate extreme value distribution sampling algorithm via extremal functions

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

Multivariate extreme value distribution sampling algorithm via angular measure

Fit of extended GP models and parameter stability plots

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

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

.score_algebraic

Algebraic score

Weighted empirical distribution function

Self-concordant empirical likelihood for a vector mean

Pairwise extremogram for max-risk functional

.rPBrownResnick

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

Parameter stability plot and maximum likelihood routine for extended GP models

Fit an extended generalized Pareto distribution of Naveau et al.

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

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

Extended GP functions

Fit an extended generalized Pareto distribution of Naveau et al.

Estimators of the extremal coefficient

Extremal index estimators based on interexceedance time and gap of exceedances

Generalized extreme value distribution

N-year return levels, median and mean estimate

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

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

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

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

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

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

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

Maximum likelihood estimation for the generalized extreme value distribution

Asymptotic bias of block maxima for fixed sample sizes

Generalized extreme value maximum likelihood estimates for various quantities of interest

Maximum likelihood estimation of the point process of extremes

Observed information matrix for GEV distribution (return levels)

Profile log-likelihood for the generalized extreme value distribution

Maximum likelihood estimation for the generalized Pareto distribution

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

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

Bias correction for GEV distribution

Information matrix for the generalized extreme value distribution

Bias correction for GP distribution

log likelihood for the generalized extreme value distribution

Tangent exponential model approximation for the GEV distribution

Generalized extreme value distribution

Tangent exponential model statistics for the generalized extreme value distribution

Bootstrap approximation for generalized Pareto parameters

Information matrix for the generalized Pareto distribution

Cox-Snell first order bias for the GEV distribution

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

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

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

Profile log-likelihood for the generalized Pareto distribution

Score vector for the generalized Pareto distribution

Generalized Pareto distribution (mean of maximum of N exceedances parametrization)

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

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

Tangent exponential model approximation for the GP distribution

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

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

Tangent exponential model statistics for the generalized Pareto distribution

Observed information matrix for the GP distribution (expected shortfall)

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

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

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

Firth's modified score equation for the generalized Pareto distribution

Maximum likelihood estimate of generalized Pareto applied to threshold exceedances

Generalized Pareto distribution (expected shortfall parametrization)

Intensity function for the extremal Student model

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

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

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

Observed information matrix for GP distribution (return levels)

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

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

Eskdalemuir Observatory Daily Rainfall

Magnetic storms

River Nidd Flow

Multivariate Normal distribution sampler

Plot of tangent exponential model profile likelihood

Exponent measure for multivariate generalized Pareto distributions

French wind data

Jacobian of the transformation from generalized Pareto to unit Pareto distribution

Plot of (modified) profile likelihood

Information matrix test statistic and MLE for the extremal index

Simulation from generalized R-Pareto processes

Intensity function for the Brown-Resnick model

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

Generalized Pareto distribution (return level parametrization)

Generalized Pareto distribution

Deaths from pandemics

Distribution of the r-largest observations

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

Score vector for the generalized extreme value distribution

Log-likelihood of Poisson process of threshold exceedances

Information matrix for the r-largest observations.

Return level for the generalized extreme value distribution

Score vector for the Poisson process of threshold exceedances

Simulation from Pareto processes using composition sampling

Simulation from R-Pareto processes

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

schlather.vario

Variogram model of Schlather and Moreva

Likelihood for multivariate peaks over threshold models

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

Poisson process of extremes.

Information matrix for the Poisson process likelihood

Generalized extreme value distribution (return level parametrization)

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

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

Score vector for the GP distribution (expected shortfall)

Simulation of generalized Huesler-Reiss Pareto vectors via composition sampling

Coefficient of tail correlation and tail dependence

Simulate r-largest observations from point process of extremes

Semi-parametric marginal transformation to uniform

Spline correction for Fraser-Reid approximations

Log likelihood for the generalized Pareto distribution

Generalized Pareto maximum likelihood estimates for various quantities of interest

Generalized Pareto distribution

Asymptotic bias of threshold exceedances for k order statistics

Metric-based threshold selection

Coefficient of extremal asymmetry

Transformation from the generalized Pareto to unit Pareto

Bridging the singularity for higher order asymptotics

Best 200 times of Women 1500m Track

Maiquetia Daily Rainfall

Smith's penultimate approximations

Ramos and Ledford test of independence

Tangent exponential model statistics for the generalized Pareto distribution (expected shortfall)

smith.penult.fn

Smith's third penultimate approximation

Interpret bivariate threshold exceedance models

Log-likelihood of the point process of r-largest observations

Score of the r-largest observations

P-P plot for testing max stability

Power exponential correlation model

Exact simulations of multivariate extreme value distributions

Power variogram model

Venice Sea Levels

Parameter stability plots for peaks-over-threshold

Random samples from spectral distributions of multivariate extreme value models.

Transform variogram matrix to covariance of conditional random field

Extreme U-statistic Pickands estimator

Abisko rainfall

Automated mean residual life plots

Rank-based transformation to angular measure

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

Dirichlet mixture smoothing of the angular measure

Wadsworth's univariate and bivariate exponential threshold diagnostics

Bivariate angular dependence function for extrapolation based on rays

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