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A set of procedures for parametric and non-parametric modelling of the dependence structure of multivariate extreme-values is provided. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and Bayesian techniques. It adapts the methodologies of Beranger and Padoan (2015) <doi:10.48550/arXiv.1508.05561>, Marcon et al. (2016) <doi:10.1214/16-EJS1162>, Marcon et al. (2017) <doi:10.1002/sta4.145>, Marcon et al. (2017) <doi:10.1016/j.jspi.2016.10.004> and Beranger et al. (2021) <doi:10.1007/s10687-019-00364-0>. This package also allows for the modelling of spatial extremes using flexible max-stable processes. It provides simulation algorithms and fitting procedures relying on the Stephenson-Tawn likelihood as per Beranger at al. (2021) <doi:10.1007/s10687-020-00376-1>.
| Version: | 0.0.4-2 |
| Depends: | R (≥ 3.5.0) |
| Imports: | numDeriv, evd, sn, quadprog, copula, nloptr, gtools, mvtnorm, fda, parallel, doParallel, foreach |
| Suggests: | fields, extraDistr |
| Published: | 2024-10-06 |
| DOI: | 10.32614/CRAN.package.ExtremalDep |
| Author: | Boris Beranger [aut], Simone Padoan [cre, aut], Giulia Marcon [aut], Steven G. Johnson [ctb] (Author of included cubature fragments), Rudolf Schuerer [ctb] (Author of included cubature fragments), Brian Gough [ctb] (Author of included cubature fragments), Alec G. Stephenson [ctb], Anne Sabourin [ctb] (Author of included BMAmevt fragments) |
| Maintainer: | Simone Padoan <simone.padoan at unibocconi.it> |
| BugReports: | https://github.com/borisberanger/ExtremalDep/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://faculty.unibocconi.it/simonepadoan/ |
| NeedsCompilation: | yes |
| In views: | ExtremeValue |
| CRAN checks: | ExtremalDep results |
| Reference manual: | ExtremalDep.pdf |
| Package source: | ExtremalDep_0.0.4-2.tar.gz |
| Windows binaries: | r-devel: ExtremalDep_0.0.4-2.zip, r-release: ExtremalDep_0.0.4-2.zip, r-oldrel: ExtremalDep_0.0.4-2.zip |
| macOS binaries: | r-release (arm64): ExtremalDep_0.0.4-2.tgz, r-oldrel (arm64): ExtremalDep_0.0.4-2.tgz, r-release (x86_64): ExtremalDep_0.0.4-2.tgz, r-oldrel (x86_64): ExtremalDep_0.0.4-2.tgz |
| Old sources: | ExtremalDep archive |
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