Multivariate Peaks-over-Threshold Modelling for Spatial Extreme Events

Tools for high-dimensional peaks-over-threshold inference and simulation of spatial extremal processes. Key references include de Fondeville and Davison (2018) , Thibaud and Opitz (2015) , Wadsworth and Tawn .


mvPot 0.1.4

  • New functions censoredLikelihoodXS and rExtremalStudentParetoProcess.
  • Censored likelihood for Brown-Resnick renamed censoredLikelihoodBR.
  • New efficient simulation algorithm for Pareto process.
  • Remove deprecated method in C code.
  • Correction of typos.

mvPot 0.1.3

  • Correction of cluster definition condition for parallel computing.
  • Addition of mvTProbQuasiMonteCarlo for efficient quasi Monte Carlo estimation of t ditribution functions.

mvPot 0.1.2

  • Modification of genVecQMC to return previous prime integer and ready to use generating vector (no division by p is needed).
  • Replaced calls to erf by pnorm in C++ library.
  • mvtNormCpp is now registered when package is loaded.

mvPot 0.1.1

  • Added a file to track changes of the package.
  • Fix compilation issues with Solaris distribution.
  • Slight modifications on the documentation.

Reference manual

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0.1.5 by Raphael de Fondeville, a year ago

Browse source code at

Authors: Raphael de Fondeville [aut, cre] , Leo Belzile [aut] , Emeric Thibaud [ctb]

Documentation:   PDF Manual  

GPL-2 license

Imports MASS, evd, numbers, gmp

Suggested by mev.

See at CRAN