Multivariate Extreme Value Distributions


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Documentation for package ‘mev’ version 1.11

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mev-package Multivariate Extreme Value Distributions
angextrapo Bivariate angular function for extrapolation based on rays
angmeas Rank-based transformation to angular measure
angmeasdir Dirichlet mixture model for the spectral density
chibar Parametric estimates of \bar{chi}
confint.extprof Confidence intervals for profile likelihood objects
confint.fr Confidence intervals for profile likelihood derived from TEM
egp Extended generalised Pareto families
egp.fit Fit of extended GP models and parameter stability plots
egp.fitrange Fit of extended GP models and parameter stability plots
egp2 Extended generalised Pareto families of Naveau et al. (2016)
egp2.fit Fit an extended generalized Pareto distribution of Naveau et al.
egp2.G Carrier distribution for the extended GP distributions of Naveau et al.
emplik Self-concordant empirical likelihood for a vector mean
ext.index Extremal index estimators based on interexceedance time and gap of exceedances
gev Generalized extreme value distribution
gev.abias Asymptotic bias of block maxima for fixed sample sizes
gev.bcor Bias correction for GEV distribution using Firth's modified score function or bias substraction
gev.mle Generalized extreme value maximum likelihood estimates for various quantities of interest
gev.Nyr N-year return levels, median and mean estimate
gev.pll Modified profile likelihood for the generalized extreme value distribution
gev.tem Tangent exponential model approximation for the GEV distribution
gevN Generalized extreme value distribution (quantile/mean of N-block maxima parametrization)
gevr Generalized extreme value distribution (return level parametrization)
gp.fit Peaks-over-threshold modelling using the generalized Pareto distribution
gpd Generalized Pareto distribution
gpd.abias Asymptotic bias of threshold exceedances for k order statistics
gpd.bcor Bias correction for GP distribution using Firth's modified score function or bias substraction
gpd.mle Generalized Pareto maximum likelihood estimates for various quantities of interest
gpd.pll Modified profile likelihood for the generalized Pareto distribution
gpd.tem Tangent exponential model approximation for the GP distribution
gpde Generalized Pareto distribution (expected shortfall parametrization)
gpdN Generalized Pareto distribution (mean of maximum of N exceedances parametrization)
gpdr Generalized Pareto distribution (return level parametrization)
ibvpot Interpret bivariate threshold exceedance models
infomat.test Information matrix test statistic and MLE for the extremal index
lambdadep Estimation of the bivariate lambda function of Wadsworth and Tawn (2013)
mev Multivariate Extreme Value Distributions
mvrnorm Multivariate Normal distribution sampler
NC.diag Score and likelihood ratio tests fit of equality of shape over multiple thresholds
plot.extprof Plot of (modified) profile likelihood
plot.fr Plot of tangent exponential model profile likelihood
rdir Random variate generation for Dirichlet distribution on Sd
rmev Exact simulations of multivariate extreme value distributions
rmevspec Random samples from spectral distributions of multivariate extreme value models.
rparp Simulation from R-Pareto processes
smith.penult Smith (1987) penultimate approximations
smith.penult.fn Smith (1987) third penultimate approximation
spline.corr Spline correction for Fraser-Reid approximations
W.diag Wadsworth's univariate and bivariate exponential threshold diagnostics