margEVT: Regularized Point Processes and Stochastic Marginalization for Extremes

Implements a non-stationary extreme value analysis framework by coupling a covariate-driven Non-Homogeneous Poisson Process (NHPP) with Elastic-Net regularization and analytical gradients. Provides methods for estimating conditional return levels and unconditional (marginalized) return levels via parametric stochastic integration over stable Vector Autoregressive VAR(p) or univariate autoregressive covariate trajectories, or non-parametric annual-block resampling. Supports block-specific penalty controls, operational active-set thresholds, conditional parametric bootstrap inference, and walk-forward assessment.

Version:	0.3.0
Imports:	stats, utils, vars
Suggests:	testthat (≥ 3.0.0)
Published:	2026-09-23
DOI:	10.32614/CRAN.package.margEVT
Author:	Rodrigo Fonseca Villa [aut, cre]
Maintainer:	Rodrigo Fonseca Villa <rodrigo03.villa at gmail.com>
BugReports:	https://github.com/rodrigosqrt3/margEVT/issues
License:	GPL (≥ 3)
URL:	https://github.com/rodrigosqrt3/margEVT
NeedsCompilation:	no
Citation:	margEVT citation info
Materials:	README, NEWS
In views:	ExtremeValue
CRAN checks:	margEVT results

Documentation:

Reference manual:

margEVT.html , margEVT.pdf

Downloads:

Package source:	margEVT_0.3.0.tar.gz
Windows binaries:	r-devel: margEVT_0.3.0.zip, r-release: margEVT_0.3.0.zip, r-oldrel: margEVT_0.3.0.zip
macOS binaries:	r-release (arm64): margEVT_0.3.0.tgz, r-oldrel (arm64): margEVT_0.3.0.tgz, r-release (x86_64): margEVT_0.3.0.tgz, r-oldrel (x86_64): margEVT_0.3.0.tgz
Old sources:	margEVT archive

Linking:

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