graphicalExtremes: Statistical Methodology for Graphical Extreme Value Models
Statistical methodology for sparse multivariate extreme value models. Methods are
provided for exact simulation and statistical inference for multivariate Pareto distributions
on graphical structures as described in the paper 'Graphical Models for Extremes' by
Engelke and Hitz (2018) <arXiv:1812.01734>.
| Version: |
0.1.0 |
| Depends: |
R (≥ 3.6.0) |
| Imports: |
igraph (≥ 1.2.4.1), mvtnorm (≥ 1.0.10), matrixcalc (≥
1.0.3), Rdpack, stats (≥ 3.6.0), grDevices (≥ 3.6.0) |
| Suggests: |
testthat (≥ 2.1.0) |
| Published: |
2019-11-08 |
| Author: |
Sebastian Engelke [aut, cre],
Adrien S. Hitz [aut],
Nicola Gnecco [aut] |
| Maintainer: |
Sebastian Engelke <sebastian.engelke at unige.ch> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| Materials: |
README |
| In views: |
ExtremeValue |
| CRAN checks: |
graphicalExtremes results |
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