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) .


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install.packages("graphicalExtremes")

0.1.0 by Sebastian Engelke, 10 days ago


Browse source code at https://github.com/cran/graphicalExtremes


Authors: Sebastian Engelke [aut, cre] , Adrien S. Hitz [aut] , Nicola Gnecco [aut]


Documentation:   PDF Manual  


GPL-3 license


Imports igraph, mvtnorm, matrixcalc, Rdpack, stats, grDevices

Suggests testthat


See at CRAN