Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes [Dombry, Engelke and Oesting (2016) , R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, ) and Extremal Student (Thibaud and Opitz, 2015, ). Threshold selection methods, including Wadsworth (2016) , and Northrop and Coleman (2014) . Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) .
Multivariate Extreme Value distributions
R-package to perform simulations from multivariate extreme value models. The package also includes
some routine functions for univariate analysis, notably threshold selection diagnostics, optimization
for the generalized Pareto distribution, bias-correction and tangent exponential model approximations,
non-parametric spectral measure estimation using empirical likelihood methods, etc.
News
mev v.1.11 (Release date: 2018-02-23)
New:
Function 'rparp' for simulation from R-Pareto Processes via rejection sampling
Function 'gev.pll' and 'gpd.pll' for penalized profile likelihood and tangent exponential model approximations
New functions 'chibar', 'angextrapo' and 'lambdadep' for bivariate and multivariate model estimation, based on work of Tawn et al.
Dirichlet mixture smoothing for empirical angular distribution of de Carvalho et al. (2013)
Functions 'gev.mle' and 'gpd.mle' for maximum likelihood estimates of transformed parameters
Functions 'gev.abias' and 'gpd.abias' for asymptotic bias of block maxima for fixed sample sizes or fixed thresholds
Changes:
Functions 'rmev', 'rmevspec', etc. now only accept variogram functions vario that have distance as argument
Simulation from 'rmev' and 'rmevspec' faster to refactoring of code
Function 'smith.penult' now has a 'family' as argument for specifying distributions via a string
Function 'gev.tem' and 'gpd.tem' are now a wrapper for 'gev.pll' and 'gpd.pll', respectively. Routine should be more robust
TEM corrections now handle more options
Clarifications in the vignette about the asymmetric negative logistic model following a discussion with A. Stephenson.
Fixes:
Fixed incorrect scaling in 'infomat.test' (thanks to P. Northrop for pointing the latter)
Model "br" now simulates from stationary version only if argument 'sigma' is provided, and otherwise samples intrinsically Gaussian processes
Display of p-value matrix for 'infomat.test'
mev v.1.10 (Release date: 2017-02-01)
New:
Added 'negdir' model to rmev
Changes:
Fixed argument matching in function egp2
mev v.1.9x
New:
Changes to angmeas to include different weighting if the region of interest is max or min
Changes:
Fixed bug affecting angmeas in the bivariate case that would cause the method to crash
mev v.1.8x
New:
Bias-correction, TEM added
Penultimate approximations (Papastathopoulos & Tawn, 2013), Naveau et al. (2014) and Smith (1987)
Changes:
model "br" is now distinct from "hr"
fixed invalid random number generation from logistic model for near-independence cases
mev v1.7 (Release date: 2016-06-07)
fixed an error in the acceptance rate for the gp.fit MCMC
New:
ext.index Extremal index estimates based on interexceedance and gap times
infomat.test Information matrix test of Suveges and Davison (2010)
mev v1.6.1 (Release date: 2016-03-15)
fixed an error in the normal sampler (affecting version 1.5 and 1.6)
All simulations of Brown-Resnick or extremal-Student were affected by the mistake
mev v1.6 (Release date: 2016-03-08)
New:
*Empirical and Euclidean likelihood estimation of spectral measure
Changes:
*gp.fit ample changes to the function, in particular a fix for the printing method, handling of errors and inclusion of the Zhang (2010) method and MCMC algorithm for the latter. This function is still preliminary and may updated in the nearby future to include further possibilities.
mev v1.5 (Release date: 2016-02-16)
New:
Wadsworth (2015) Technometrics's proposal for threshold selection based on NHPP superposition
Northrop & Coleman diagnostic (2014) Extremes for shape equality and p-value path
mev v1.4 (not on CRAN)
Changes:
fixed error for simulation on grids
check for marginal mean constraint for the Dirichlet mixture now has tolerance
mev v1.3 (Release date: 2015-10-05)
Changes:
Extremal Dirichlet model now implemented with "ef"
Added Smith and asymmetric (negative) logistic model (differs from bivariate setting for aneglog, given that the later is not a valid DF according to Stephenson).
rmev can now return arrays for random fields on regular grids ("hr","exstud" and "smith" models).
mev v1.2 (Release date: 2015-08-23)
Changes:
Added the negative bilogistic and the scaled Dirichlet models.
Extremal Dirichlet model implemented with "sm" only.
mev v1.1 (Release date: 2015-08-19)
Changes:
Implementation of sampler from spectral distribution, moving rdirspec and rbilogspec to background along with other functions.
Fixed a typo in rPextstud setting arguments of newly created arma vector to zero
Authors:
Leo Belzile [aut, cre]
,
Jennifer L. Wadsworth [aut]
,
Paul J. Northrop [aut]
,
Scott D. Grimshaw [aut]
,
Jin Zhang [ctb]
,
Michael A. Stephens [ctb]
,
Art B. Owen [ctb]
,
Raphael Huser [aut]