mev2.0 package

Estimation of the bivariate angular dependence function

Bivariate angular dependence function for extrapolation based on rays

Rank-based transformation to angular measure

Dirichlet mixture smoothing of the angular measure

Automated mean residual life plots

Censored likelihood for multivariate peaks over threshold models

Confidence intervals for profile likelihood objects

Threshold selection via coefficient of variation

Distance matrix with geometric anisotropy

Distance matrix with geometric anisotropy

GP fitting function of Grimshaw (1993)

Robust threshold selection of Dupuis

Posterior predictive distribution and density for the GEV distribution

Maximum likelihood method for the generalized Pareto Model

Is the matrix conditionally negative semi-definite? Function adapted f...

Joint maximum likelihood estimation for exponential model

Internal function

Generates from $Qi$, the spectral measure of the bilogistic model

Generates from $Qi$, the spectral measure of the Brown-Resnick model

Generates from $Qi$, the spectral measure of the Dirichlet mixture mod...

Generates from $Qi$, the spectral measure of the extremal Dirichlet mo...

Generates from $Qi$, the spectral measure of the extremal Student mode...

Generates from $Qi$, the spectral measure of the Husler-Reiss model

Generates from $Qi$, the spectral measure of the logistic model

Multivariate extreme value distribution sampling algorithm via angular...

Multivariate extreme value distribution sampling algorithm via extrema...

Random samples from asymmetric logistic distribution

Random sampling from spectral distribution on l1 sphere

Multivariate Normal distribution sampler (Rcpp version), derived using...

Generates from $Qi$, the spectral measure of the negative logistic mod...

Generates from $Qi$, the spectral measure of the pairwise Beta model

Generates from $Qi$, the spectral measure of the pairwise exponential ...

Generate from bilogistic $Y \sim {P_x}$, where $P_{x}$ is the probabil...

Generate from Brown-Resnick process $Y \sim {P_x}$, where $P_{x}$ is p...

Generate from extremal Dirichlet $Y \sim {P_x}$, where $P_{x}$ is the ...

Generate from extremal Dirichlet $Y \sim {P_x}$, where $P_{x}$ is the ...

Generate from extremal Student-t $Y \sim {P_x}$, where $P_{x}$ is prob...

Generate from extremal Husler-Reiss distribution $Y \sim {P_x}$, where...

Generate from logistic $Y \sim {P_x}$, where $P_{x}$ is probability of...

Generate from negative logistic $Y \sim {P_x}$, where $P_{x}$ is proba...

Samples from exceedances at site (scaled extremal function definition)

Generate from Smith model (moving maxima) $Y \sim {P_x}$, where $P_{x}...

Generates from $Qi$, the spectral measure of the Smith model (moving m...

Generates from $Qi$, the spectral measure of the weighted Dirichlet mo...

Generates from $Qi$, the spectral measure of the weighted exponential ...

Weighted empirical distribution function

Extended generalised Pareto log likelihood

Fit of extended GP models and parameter stability plots

Deprecated function for parameter stability plots

Profile log likelihood for extended generalized Pareto models

Extended generalised Pareto families

Fit an extended generalized Pareto distribution of Naveau et al.

Extended generalized Pareto distribution

Self-concordant empirical likelihood for a vector mean

Exponent measure for multivariate generalized Pareto distributions

Extremal index estimators

Estimators of the extremal coefficient

Extended GP functions

Carrier distribution for the extended GP distributions of Naveau et al...

Extended generalised Pareto families of Naveau et al. (2016)

Pairwise extremogram for max-risk functional

Parameter stability plot and maximum likelihood routine for extended G...

Fit an extended generalized Pareto distribution of Naveau et al.

Maximum likelihood estimation for the generalized extreme value distri...

Maximum likelihood estimation for the generalized Pareto distribution

Maximum likelihood estimation of the point process of extremes

Estimator of the second order tail index parameter

Maximum likelihood estimates of point process for the r-largest observ...

Shape parameter estimates

Maximum likelihood estimation for weighted generalized Pareto distribu...

Asymptotic bias of block maxima for fixed sample sizes

Bias correction for GEV distribution

Cox-Snell first order bias for the GEV distribution

Firth's modified score equation for the generalized extreme value dist...

Information matrix for the generalized extreme value distribution

Log likelihood for the generalized extreme value distribution

Generalized extreme value maximum likelihood estimates for various qua...

N-year return levels, median and mean estimate

Profile log-likelihood for the generalized extreme value distribution

Generalized extreme value distribution

Return level for the generalized extreme value distribution

Score vector for the generalized extreme value distribution

Tangent exponential model approximation for the GEV distribution

Tangent exponential model statistics for the generalized extreme value...

Generalized extreme value distribution

Information matrix of the generalized extreme value distribution (quan...

Negative log likelihood of the generalized extreme value distribution ...

This function returns the mean of N observations from the GEV.

Generalized extreme value distribution (quantile/mean of N-block maxim...

Score of the generalized extreme value distribution (quantile/mean of ...

Tangent exponential model statistics for the generalized Pareto distri...

Observed information matrix for GEV distribution (return levels)

Negative log likelihood of the generalized extreme value distribution ...

Generalized extreme value distribution (return level parametrization)

Score of the log likelihood for the GEV distribution (return levels)

Tangent exponential model statistics for the GEV distribution (return ...

Maximum likelihood estimate of generalized Pareto applied to threshold...

Asymptotic bias of threshold exceedances for k order statistics

Bias correction for GP distribution

Cox-Snell first order bias expression for the generalized Pareto distr...

Bootstrap approximation for generalized Pareto parameters

Firth's modified score equation for the generalized Pareto distributio...

Information matrix for the generalized Pareto distribution

Log likelihood for the generalized Pareto distribution

Estimation of generalized Pareto parameters via L-moments

Generalized Pareto maximum likelihood estimates for various quantities...

Profile log-likelihood for the generalized Pareto distribution

Generalized Pareto distribution

Score vector for the generalized Pareto distribution

Tangent exponential model approximation for the GP distribution

Tangent exponential model statistics for the generalized Pareto distri...

Observed information matrix for the GP distribution (expected shortfal...

Negative log likelihood of the generalized Pareto distribution (expect...

Generalized Pareto distribution (expected shortfall parametrization)

Score vector for the GP distribution (expected shortfall)

Tangent exponential model statistics for the generalized Pareto distri...

Generalized Pareto distribution

Information matrix of the generalized Pareto distribution (mean of max...

Negative log likelihood of the generalized Pareto distribution (mean o...

This function returns the mean of N maxima from the GP.

This function returns the qth percentile of N maxima from the GP.

Generalized Pareto distribution (mean of maximum of N exceedances para...

Score vector of the generalized Pareto distribution (mean of maximum o...

Tangent exponential model statistics for the generalized Pareto distri...

Observed information matrix for GP distribution (return levels)

Negative log likelihood of the generalized Pareto distribution (return...

Generalized Pareto distribution (return level parametrization)

Score of the profile log likelihood for the GP distribution (return le...

Tangent exponential model statistics for the generalized Pareto distri...

Transformation from the generalized Pareto to unit Pareto

Interpret bivariate threshold exceedance models

Information matrix test statistic and MLE for the extremal index

Intensity function for the Brown-Resnick model

Intensity function for the extremal Student model

Jacobian of the transformation from generalized Pareto to unit Pareto ...

Estimators of the tail coefficient

Transform variogram matrix to covariance of conditional random field

Estimation of the bivariate angular dependence function of Wadsworth a...

Likelihood for multivariate peaks over threshold models

Transform arguments using max stability

P-P plot for testing max stability

Multivariate Normal distribution sampler

Score and likelihood ratio tests fit of equality of shape over multipl...

Smith's penultimate approximations

Extreme U-statistic Pickands estimator

Plot of (modified) profile likelihood

Plot of tangent exponential model profile likelihood

Plots for random block maximum estimator

Plots for Varty and al. metric-based threshold selection

Sequential analysis diagnostic plots for threshold selection

Mean residual life parameter stability plot

Power variogram model

Power exponential correlation model

Information matrix for the Poisson process likelihood

Log-likelihood of Poisson process of threshold exceedances

Poisson process of extremes.

Score vector for the Poisson process of threshold exceedances

Weissman's quantile estimator

Random variate generation for Dirichlet distribution on $Sd$

Simulation from generalized R-Pareto processes

Second order tail index estimator of Drees and Kaufmann

Second order tail index estimator of Fraga Alves et al. Estimator of t...

Second order tail index estimator of Goegebeur et al. (2008)

Second order tail index estimator of Gomes et al.

Information matrix for the r-largest observations.

Log-likelihood of the point process of r-largest observations

Distribution of the r-largest observations

Score of the r-largest observations

Exact simulations of multivariate extreme value distributions

Random samples from spectral distributions of multivariate extreme val...

Multivariate Normal distribution sampler

Simulation from R-Pareto processes

Simulation from Pareto processes using composition sampling

Simulation of generalized Huesler-Reiss Pareto vectors via composition...

Simulate r-largest observations from point process of extremes

Variogram model of Schlather and Moreva

Ramos and Ledford test of independence

Exponential regression estimator

Generalized jackknife shape estimator

Beirlant et al. generalized quantile shape estimator

Hill's estimator of the shape parameter

Lower-trimmed Hill estimator for the shape parameter

Dekkers and de Haan moment estimator for the shape

Extreme U-statistic Pickands estimator

Pickand's shape estimator

Random block maxima shape estimator of Wager

Trimmed Hill estimator for the shape parameter

de Vries shape estimator

Smith's third penultimate approximation

Smith's penultimate approximations

Spline correction for Fraser-Reid approximations

Semi-parametric marginal transformation to uniform

Stein's weighted generalized Pareto likelihood

Stein's vector of weights

Coefficient of tail correlation and tail dependence

Bridging the singularity for higher order asymptotics

P-P plot for testing max stability

Ramos and Ledford test of independence

Automatic L-moment ratio selection method

Lower truncated Hill threshold selection

Threshold selection via coefficient of variation

Generalized quantile threshold selection

Kernel-based threshold selection of Goegebeur, Beirlant and de Wet (20...

Mahalanobis distance-based methodology

Minimum distance threshold selection procedure

Automated mean residual life plots

Northop and Coleman piecewise generalized Pareto threshold selection d...

Prediction error C-criterion threshold selection method

Pickands' order statistics threshold selection method

Threshold selection for the random block maxima method

Threshold selection via SAMSEE

Threshold selection diagnostic of Suveges and Davison

Metric-based threshold selection

Wadsworth's sequential analysis threshold selection

Coefficient of variation threshold stability plot

Threshold stability plots for extended generalized Pareto models

Parameter stability plots for peaks-over-threshold

Threshold stability plot for Hill estimator

Threshold stability plots for left-truncated Hill estimators

Mean residual life plot

Wadsworth's univariate and bivariate exponential threshold diagnostics

Coefficient of extremal asymmetry

Coefficient of extremal asymmetry

Coefficient of tail correlation

Coefficient chi-bar

Coefficient of tail dependence

Extremal index estimators