Multivariate Extremes: Bayesian Estimation of the Spectral Measure
Adds graphical elements to a plot of the two dimensional simplex.
Bayesian Model Averaging for Multivariate Extremes
Angular data set generation from unit Frechet data.
Plots the Dirichlet mixture density on a discretization grid
Univariate projection or marginalization of a Dirichlet mixture densit...
Angular density/likelihood function in the Dirichlet Mixture model.
Image and/or Contour plots of spectral densities in trivariate extreme...
Diagnostics for the MCMC output in the PB and NL models.
Discretization grid builder.
PB and NL spectral densities on the two-dimensional simplex
Pairwise Beta (PB) and Nested Asymmetric Logistic (NL) distributions
Probability of joint threshold exceedance, in the Dirichlet Mixture mo...
Probability of joint threshold excess in the NL model
Estimates the probability of joint excess, given a PB parameter.
Posterior distribution the probability of joint threshold excess, in t...
Estimates the probability of joint excess (Frechet margins)
Exponent function in the NL model.
Inverse logit transformation
Acceptance probability in the MCMC algorithm.
Laplace approximation of a model marginal likelihood by Laplace approx...
Logit transformation
Marginal likelihoods of the PB and NL models.
Marginal model likelihood
Maximum likelihood optimization
Generic Monte-Carlo integration under the prior distribution in the PB...
Generic Monte-Carlo integration of a function under the prior distribu...
Posterior predictive densities in the three dimensional PB, NL and NL3...
Posterior predictive density on the simplex, for three-dimensional ext...
Posterior distribution in the average model
MCMC posterior samplers for the pairwise beta and the negative logisti...
MCMC sampler for parametric spectral measures
Posterior predictive density on the simplex, for three-dimensional ext...
Posterior model weights
Prior parameter distribution for the NL model
Prior parameter distribution for the Pairwise Beta model
NL3 model: proposal distribution.
PB model: proposal distribution
Dirichlet distribution: random generator
Density integration on the two-dimensional simplex
Positive alpha-stable distribution.
Logarithmic score and distance between two densities on the simp...
Linear coordinate transformations
Toolkit for Bayesian estimation of the dependence structure in multivariate extreme value parametric models, following Sabourin and Naveau (2014) <doi:10.1016/j.csda.2013.04.021> and Sabourin, Naveau and Fougeres (2013) <doi:10.1007/s10687-012-0163-0>.