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An R package for the analysis of univariate, multivariate and functional extreme values. The package includes routine functions for univariate analyses multiple threshold selection diagnostics, optimization, bias-correction and tangent exponential model approximations, non-parametric spectral measure estimation using empirical likelihood methods, etc. Multivariate functionalities revolve around simulation algorithms for multivariate models, empirical likelihood, empirical dependence measures. Likelihood functions for elliptical processes and user-provided methodologies.

To install from Github, use

remotes::install_github("lbelzile/mev")

after installing remotes.