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 |