Package: ExtremalDep 0.0.4-3

Simone Padoan

ExtremalDep: Extremal Dependence Models

A set of procedures for parametric and non-parametric modelling of the dependence structure of multivariate extreme-values is provided. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and Bayesian techniques. It adapts the methodologies of Beranger and Padoan (2015) <doi:10.48550/arXiv.1508.05561>, Marcon et al. (2016) <doi:10.1214/16-EJS1162>, Marcon et al. (2017) <doi:10.1002/sta4.145>, Marcon et al. (2017) <doi:10.1016/j.jspi.2016.10.004> and Beranger et al. (2021) <doi:10.1007/s10687-019-00364-0>. This package also allows for the modelling of spatial extremes using flexible max-stable processes. It provides simulation algorithms and fitting procedures relying on the Stephenson-Tawn likelihood as per Beranger at al. (2021) <doi:10.1007/s10687-020-00376-1>.

Authors:Boris Beranger [aut], Simone Padoan [cre, aut], Giulia Marcon [aut], Steven G. Johnson [ctb], Rudolf Schuerer [ctb], Brian Gough [ctb], Alec G. Stephenson [ctb], Anne Sabourin [ctb], Philippe Naveau [ctb]

ExtremalDep_0.0.4-3.tar.gz
ExtremalDep_0.0.4-3.tar.gz(r-4.5-noble)ExtremalDep_0.0.4-3.tar.gz(r-4.4-noble)
ExtremalDep_0.0.4-3.tgz(r-4.4-emscripten)ExtremalDep_0.0.4-3.tgz(r-4.3-emscripten)
ExtremalDep.pdf |ExtremalDep.html
ExtremalDep/json (API)

# Install 'ExtremalDep' in R:
install.packages('ExtremalDep', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/borisberanger/extremaldep/issues

Uses libs:
  • openblas– Optimized BLAS
Datasets:
  • CLAY.SALL.PAUL - Weekly maximum wind speed data collected over 4 stations across Oklahoma, USA, over the March-May preiod between 1996 and 2012.
  • CLOU.CLAY.PAUL - Weekly maximum wind speed data collected over 4 stations across Oklahoma, USA, over the March-May preiod between 1996 and 2012.
  • CLOU.CLAY.SALL - Weekly maximum wind speed data collected over 4 stations across Oklahoma, USA, over the March-May preiod between 1996 and 2012.
  • CLOU.SALL.PAUL - Weekly maximum wind speed data collected over 4 stations across Oklahoma, USA, over the March-May preiod between 1996 and 2012.
  • Leeds.frechet - Air quality datasets containing daily maxima of air pollutants (PM10, NO, NO2, 03 and S02) recorded in Leeds (U.K.), during five winter seasons (November-Februrary) between 1994 and 1998.
  • Lingen - Hourly wind gust, wind speed and air pressure at Lingen (GER), Ossendorf (GER) and Parcay-Meslay (FRA).
  • Milan.summer - Pollution data for summer and winter months in Milan, Italy.
  • Milan.winter - Pollution data for summer and winter months in Milan, Italy.
  • NSN - Air quality datasets containing daily maxima of air pollutants (PM10, NO, NO2, 03 and S02) recorded in Leeds (U.K.), during five winter seasons (November-Februrary) between 1994 and 1998.
  • Ossendorf - Hourly wind gust, wind speed and air pressure at Lingen (GER), Ossendorf (GER) and Parcay-Meslay (FRA).
  • PNN - Air quality datasets containing daily maxima of air pollutants (PM10, NO, NO2, 03 and S02) recorded in Leeds (U.K.), during five winter seasons (November-Februrary) between 1994 and 1998.
  • PNNS - Air quality datasets containing daily maxima of air pollutants (PM10, NO, NO2, 03 and S02) recorded in Leeds (U.K.), during five winter seasons (November-Februrary) between 1994 and 1998.
  • PNS - Air quality datasets containing daily maxima of air pollutants (PM10, NO, NO2, 03 and S02) recorded in Leeds (U.K.), during five winter seasons (November-Februrary) between 1994 and 1998.
  • ParcayMeslay - Hourly wind gust, wind speed and air pressure at Lingen (GER), Ossendorf (GER) and Parcay-Meslay (FRA).
  • PrecipFrance - Weekly maxima of hourly rainfall in France
  • heatdata - Summer temperature maxima in Melbourne, Australia between 1961 and 2010.
  • locgrid - Summer temperature maxima in Melbourne, Australia between 1961 and 2010.
  • logReturns - Monthly maxima of log-return exchange rates of the Pound Sterling (GBP) against the US dollar (USD) and the Japanese yen (JPY), between March 1991 and December 2014.
  • mellat - Summer temperature maxima in Melbourne, Australia between 1961 and 2010.
  • mellon - Summer temperature maxima in Melbourne, Australia between 1961 and 2010.
  • scalegrid - Summer temperature maxima in Melbourne, Australia between 1961 and 2010.
  • shapegrid - Summer temperature maxima in Melbourne, Australia between 1961 and 2010.
  • winterdat - Air quality datasets containing daily maxima of air pollutants (PM10, NO, NO2, 03 and S02) recorded in Leeds (U.K.), during five winter seasons (November-Februrary) between 1994 and 1998.

openblas

1.30 score 324 downloads 38 exports 68 dependencies

Last updated 14 hours agofrom:11c19ba9fc. Checks:OK: 2. Indexed: no.

TargetResultDate
Doc / VignettesOKDec 12 2024
R-4.5-linux-x86_64OKDec 12 2024

Exports:angularbeedbeed.bootbeed.confbanddesndestdExtDepdGEVdiagnosticsdim_ExtDepdmesndmestellipseExtQfExtDepfExtDep.npfExtDepSpatfGEVindex.ExtDepmadogramPAMfmadopesnpestpExtDeppFailurepGEVplot_ExtDepplot_ExtDep.nppmesnpmestqGEVreturnsrExtDeprExtDepSpatsimplexsummary_ExtDeptrans2GEVtrans2UFrechet

Dependencies:ADGofTestashbitopscliclustercodetoolscolorspacecopuladeSolvedoParallelevdfansifarverfdafdsFNNforeachggplot2gluegslgtablegtoolshdrcdeisobanditeratorskernlabKernSmoothkslabelinglatticelifecyclelocfitmagrittrMASSMatrixMatrixModelsmclustmgcvmnormtmulticoolmunsellmvtnormnlmenloptrnumDerivpcaPPpillarpkgconfigpracmapsplinequadprogquantregR6rainbowRColorBrewerRcppRCurlrlangscalessnSparseMstabledistsurvivaltibbleutf8vctrsviridisLitewithr

Readme and manuals

Help Manual

Help pageTopics
Estimation of the angular density, angular measure and random generation from the angular distribution.angular
Bernstein Polynomials Based Estimation of Extremal Dependencebeed
Bootstrap Resampling and Bernstein Estimation of Extremal Dependencebeed.boot
Nonparametric Bootstrap Confidence Intervalsbeed.confband
Univariate extended skew-normal distributiondesn pesn
Univariate extended skew-t distributiondest pest
Parametric and non-parametric density of Extremal DependencedExtDep
The Generalized Extreme Value DistributiondGEV pGEV qGEV
Diagnostics plots for MCMC algorithm.diagnostics
Dimensions calculations for parametric extremal dependence modelsdim_ExtDep
Bivariate and trivariate extended skew-normal distributiondmesn pmesn
Bivariate and trivariate extended skew-t distributiondmest pmest
Level sets for bivariate normal, student-t and skew-normal distributions probability densities.ellipse
Univariate Extreme QuantileExtQ
Extremal dependence estimationfExtDep
Non-parametric extremal dependence estimationfExtDep.np
Fitting of a max-stable processfExtDepSpat
Fitting of the Generalized Extreme Value DistributionfGEV
Summer temperature maxima in Melbourne, Australia between 1961 and 2010.heat heatdata locgrid mellat mellon scalegrid shapegrid
Index of extremal dependenceindex.ExtDep
Monthly maxima of log-return exchange rates of the Pound Sterling (GBP) against the US dollar (USD) and the Japanese yen (JPY), between March 1991 and December 2014.logReturns
Madogram-based estimation of the Pickands Dependence Functionmadogram
Pollution data for summer and winter months in Milan, Italy.Milan.summer Milan.winter MilanPollution
Clustering of maximaPAMfmado
Parametric and non-parametric distribution function of Extremal DependencepExtDep
Probability of falling into a failure regionpFailure
Graphical summaries of parametric representations of extremal dependence.plot_ExtDep
Graphical summaries of non-parametric representations of extremal dependence.plot_ExtDep.np
Air quality datasets containing daily maxima of air pollutants (PM10, NO, NO2, 03 and S02) recorded in Leeds (U.K.), during five winter seasons (November-Februrary) between 1994 and 1998.Leeds.frechet NSN PNN PNNS PNS pollution winterdat
Weekly maxima of hourly rainfall in Francelat lon precip PrecipFrance
Compute return valuesreturns
Parametric and semi-parametric random generator of extreme eventsrExtDep
Random generation of max-stable processesrExtDepSpat
Definition of a multivariate simplexsimplex
Summary of MCMC algorithm.summary_ExtDep
Transformation to GEV distributiontrans2GEV
Transformation to unit Frechet distributiontrans2UFrechet
Weekly maximum wind speed data collected over 4 stations across Oklahoma, USA, over the March-May preiod between 1996 and 2012.CLAY.SALL.PAUL CLOU.CLAY.PAUL CLOU.CLAY.SALL CLOU.SALL.PAUL Wind
Hourly wind gust, wind speed and air pressure at Lingen (GER), Ossendorf (GER) and Parcay-Meslay (FRA).Lingen Ossendorf ParcayMeslay WindSpeedGust