ExtremalDep: Extremal Dependence Models

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: 0.0.4-1
Depends: R (≥ 3.5.0)
Imports: numDeriv, evd, sn, quadprog, copula, nloptr, gtools, mvtnorm, fda, parallel, doParallel, foreach
Suggests: fields, extraDistr
Published: 2023-09-25
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>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://faculty.unibocconi.it/simonepadoan/
NeedsCompilation: yes
In views: ExtremeValue
CRAN checks: ExtremalDep results

Documentation:

Reference manual: ExtremalDep.pdf

Downloads:

Package source: ExtremalDep_0.0.4-1.tar.gz
Windows binaries: r-devel: ExtremalDep_0.0.4-1.zip, r-release: ExtremalDep_0.0.4-1.zip, r-oldrel: ExtremalDep_0.0.4-1.zip
macOS binaries: r-release (arm64): ExtremalDep_0.0.4-1.tgz, r-oldrel (arm64): ExtremalDep_0.0.4-1.tgz, r-release (x86_64): ExtremalDep_0.0.4-1.tgz
Old sources: ExtremalDep archive

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