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Performs likelihood-based inference for stationary time series extremes. The general approach follows Fawcett and Walshaw (2012) <doi:10.1002/env.2133>. Marginal extreme value inferences are adjusted for cluster dependence in the data using the methodology in Chandler and Bate (2007) <doi:10.1093/biomet/asm015>, producing an adjusted log-likelihood for the model parameters. A log-likelihood for the extremal index is produced using the K-gaps model of Suveges and Davison (2010) <doi:10.1214/09-AOAS292>. These log-likelihoods are combined to make inferences about extreme values. Both maximum likelihood and Bayesian approaches are available.
Version: | 1.1.1 |
Depends: | R (≥ 3.3.0) |
Imports: | chandwich, exdex, graphics, revdbayes, rust, sandwich, stats |
Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0) |
Published: | 2024-07-17 |
DOI: | 10.32614/CRAN.package.lite |
Author: | Paul J. Northrop [aut, cre, cph] |
Maintainer: | Paul J. Northrop <p.northrop at ucl.ac.uk> |
BugReports: | https://github.com/paulnorthrop/lite/issues |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
URL: | https://paulnorthrop.github.io/lite/, https://github.com/paulnorthrop/lite |
NeedsCompilation: | no |
Materials: | README NEWS |
CRAN checks: | lite results |
Reference manual: | lite.pdf |
Vignettes: |
Frequentist Likelihood-Based Inference for Time Series Extremes Bayesian Likelihood-Based Inference for Time Series Extremes |
Package source: | lite_1.1.1.tar.gz |
Windows binaries: | r-devel: lite_1.1.1.zip, r-release: lite_1.1.1.zip, r-oldrel: lite_1.1.1.zip |
macOS binaries: | r-release (arm64): lite_1.1.1.tgz, r-oldrel (arm64): lite_1.1.1.tgz, r-release (x86_64): lite_1.1.1.tgz, r-oldrel (x86_64): lite_1.1.1.tgz |
Old sources: | lite archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.