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 (2020) .

Reference manual

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install.packages("graphicalExtremes")

0.3.5 by Sebastian Engelke, 6 months ago

https://github.com/sebastian-engelke/graphicalExtremes

Report a bug at https://github.com/sebastian-engelke/graphicalExtremes/issues

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

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

Documentation:   PDF Manual  

GPL-3 license

Imports igraph, mvtnorm, Rdpack, stats, utils, corpcor, osqp, glmnet, glassoFast, CVXR

Suggests testthat, knitr, rmarkdown, dplyr, ggplot2, bookdown, maps

Depended on by satdad.

See at CRAN

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