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) .


Reference manual

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0.1.0 by Sebastian Engelke, a year ago

Browse source code at

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