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The texmex package for R

Extreme value modelling with R. Includes univariate modelling using generalized Pareto, generalized extreme value, Weibull and Gumbel distributions, and the multivariate conditional approach of Heffernan and Tawn.

The package contains a test suite that depends on the testthat package. To use the test suite, install using ‘R CMD INSTALL –install-tests’ and then running ‘devtools::test(“texmex”)’ within R, where “texmex” points to the package location.

This work was partially funded by AstraZeneca.

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.