Statistical Methodology for Graphical Extreme Value Models


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Documentation for package ‘graphicalExtremes’ version 0.1.0

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graphicalExtremes-package graphicalExtremes: Statistical methodology for graphical extreme value models.
censor Censor dataset
chi2Gamma Transformation of extremal correlation chi to the Huesler-Reiss variogram Gamma
complete_Gamma Completion of Gamma matrix on block graphs
data2mpareto Data standardization to multivariate Pareto scale
dim_Gamma Is Gamma square matrix?
emp_chi Empirical estimation of extremal correlation chi
emp_chi_mat Empirical estimation of extremal correlation matrix chi
emp_vario Estimation of the variogram matrix Gamma of the Huesler-Reiss distribution
fmpareto_graph_HR Parameter fitting for multivariate Huesler-Reiss Pareto distributions on block graphs
fmpareto_HR Parameter fitting for multivariate Huesler-Reiss Pareto distribution
Gamma2chi Transformation of the Huesler-Reiss variogram Gamma to extremal correlation chi
Gamma2chi_3D Compute theoretical chi in 3D
Gamma2graph Transformation of Gamma matrix to graph object
Gamma2par Extract upper triangular part of Gamma
Gamma2Sigma Transformation of Gamma matrix to Sigma^(k) matrix
graphicalExtremes graphicalExtremes: Statistical methodology for graphical extreme value models.
logdVK_HR Compute censored exponent measure
logdV_HR Compute the exponent measure density of HR distribution
logLH_HR Full censored log-likelihood of HR model
mparetomargins Marginalize multivariate Pareto dataset
mst_HR Fitting of Huesler-Reiss minimum spanning tree
par2Gamma Create Gamma from vector
rmpareto Sampling of a multivariate Pareto distribution
rmpareto_tree Sampling of a multivariate Pareto distribution on a tree
rmstable Sampling of a multivariate max-stable distribution
rmstable_tree Sampling of a multivariate max-stable distribution on a tree
select_edges Select edges to add to a graph
set_graph_parameters Set graphical parameters
Sigma2Gamma Transformation of Sigma^(k) matrix to Gamma matrix
simu_px_dirichlet Simulate Dirichlet extremal functions
simu_px_HR Simulate HR extremal functions
simu_px_logistic Simulate logistic extremal functions
simu_px_neglogistic Simulate negative logistic extremal functions
simu_px_tree_dirichlet Simulate Dirichlet extremal functions on a tree
simu_px_tree_HR Simulate HR extremal functions on a tree
simu_px_tree_logistic Simulate logistic extremal functions on a tree
unif Uniform margin
V_HR Compute exponent measure