Changelog
Source:NEWS.md
mev 1.18 (Release date ???)
New:
- Stein’s weighted generalized Pareto estimator with
fit.wgpd
- Multiple shape estimators (Hill, Pickands, moment estimator, generalized quantile) via
fit.shape
and specific routinesshape.moment
,shape.pickands
,shape.pickandsxu
,shape.genquant
andshape.hill
. - Weissman quantile estimator (
qweissman
) - Function
dgeoaniso
for geometric anisotropy, using the parametrization of Rai and Brown (2025) - Robust threshold selection diagnostic wrapper
- Distributions for extended generalized Pareto, with new models and profile likelihood
Changes:
- Function
PickandsXU
is deprecated and replaced withshape.pickandsxu
- Function
fit.gpd
with methodobre
now returns ordered exceedances and weights. -
spunif
now correctly handles missing values -
confint.eprof
has an argument for boundary non-regular null distribution (for the most common case). - Breaking changes to
fit.egp
,egp.retlev
,tstab.egp
. The former now allows fixed parameters (for profiling). - All functions for automatic threshold selection are now named using the prefix
thselect.
Their arguments are somewhat standardized, and they each have distinct plot and print methods.
mev 1.17 (Release date 2024-07-09)
CRAN release: 2024-07-09
Fixes:
-
gpd.ll
andgpd.nll
correctly return a non-NA
value when xi=-1 (#18, reported by Paddy O’Toole) -
tstab.gpd
now correctly works when input leads to boundary values, and profile likelihood intervals are now correctly truncated in the range of admissible values -
fit.gpd
now relies ongpd.ll
to return the negative log likelihood valuenllh
- Threshold stability plots now compute limits of plot safely, handling missing values in parameter estimates. Intervals are truncated to admissible values
- For multivariate censored likelihood, marginal thresholds equal to the functional threshold (default option) doesn’t return an error.
mev 1.16 (Release date 2023-11-30)
CRAN release: 2023-11-30
New:
- Pickand’s U-statistic estimator of the shape
- New datasets: Newlyn wave height, pandemics, nutrients
Fixes:
-
gp.tstab
optimization bounds for profile confidence interval fixed. -
rparp
failed when a single draw was accepted (due to matrix being cast to vectors) -
fit.extgp
now handles model 0 (generalized Pareto), fixing #17
mev 1.15 (Release date 2023-04-23)
CRAN release: 2023-04-20
New:
-
gev
andgp
distribution functions (d/p/q/r) introduced to remove dependency onevd
package. - Ramos and Ledford score test of independence
mev 1.14 (Release date 2022-04-25)
CRAN release: 2022-04-25
New:
- bivariate coefficient of extremal asymmetry
- four new families of max-stable models (pairwise beta, pairwise exponential, weighted Dirichlet and weighted exponential) for
rmev
, following Ballani and Schlather (2011) - maximum likelihood estimation routines (
fit.gpd
,fit.gev
, etc.) now accept fixed parameters - mean residual life plots with weighted least square fit
- coefficient of variation tests for threshold selection
- Varty et al. metric based threshold selection diagnostic
-
anova
method formev_gpd
andmev_gev
objects -
rmev
andrmevspec
now accept a distance matrix in place of coordinates for spatial models. - new datasets
- website with vignettes
Changes
- Functions W.diag and NC.diag now have S3 plot and print methods
- Changes to arguments (backward compatible) to xdat throughout
- Many dependencies used by single functions are now listed in Suggest.
Fixes:
-
ext.coef
correctly handles arrays with missing values (reported by M. Jousset) - Optimization method in
fit.gev
now uses the PWM solution of Hosking (1985) as starting value -
gepll
now returns confidence intervals for param = “quant” (reported by D. Dupuis) - Fixes to NHPP order statistics density (returns -Inf outside of domain, also correctly evaluate for boundary case when xi=-1)
- Optimization routines
fit.pp
,fit.gev
andfit.rlarg
now return correct MLE when solution lies on boundary (xi=-1) and are more robust to failure (gradients for nlminb return large values rather than NAs which caused the algorithm to stop). - Grimshaw’s algorithm sometimes returned incorrect value because of too low tolerance for eta near zero. Set back to default settings.
-
fit.gpd(..., method = "obre")
now returns additional failure messages if the algorithm drifts towards infeasible values. -
rparp
now correctly handles xi=0 - Extended GP model now has ‘step’ for discretization, and a valid distribution function that returns real arguments whenever the input is finite (#9)
-
W.diag
andegp.fitrange
include arguments for changing ‘par’ (#10) -
smith.penult
now computes reciprocal hazard and it’s derivative on the log scale (when possible) to avoid numerical overflow.
mev 1.13 (Release date: 2019-12-17)
CRAN release: 2019-12-18
mev 1.12 (Release date: 2019-06-24)
CRAN release: 2019-06-24
New:
- Function ‘taildep’ is multivariate equivalent to ‘evd::chiplot’
- Function ‘rparpcs’ for simulating from elliptical Pareto processes associated with max
- ‘rgparp’ for simulation of generalized R Pareto processes
- Exponent measure for Brown-Resnick and extremal Student model
- ‘spunif’ for semi-parametric transform to uniform (tail modelled using GP)
- ‘rparp’ now has attributes to give acceptance rate of accept/reject procedure.
- Exponent measure estimators ‘extcoef’
- New method for robust OBRE estimates of GP parameters
- Functions ‘fit.gev’,‘fit.gpd’, ‘fit.rlarg’ and ‘fit.pp’ for maximum likelihood estimation
- Default printing and plot optims (p-p and q-q plots) for mev_ objects
- Changes to optimization routine for pp in ‘W.diag’ function, use of expected information matrix, change to default tuning parameter
- New datasets: eskrain, maiquetia, nidd, venice, w1500m
Fixes:
- Scaling of Brown-Resnick is now consistent with literature (half of semivariogram)
- Degrees of freedom argument in C++ code for ‘rmev’ with extremal Student family was incorrect
- ‘rparp’ now has a hard bound to ensure the vector of simulated vectors fits in memory.
- Change to Grimshaw routine to ensure shape not less than -1, constrained optimization method
- Information matrix, score for GEV now interpolated in a neighborhood of zero to preserve continuity and avoid numerical overflow.
- Information matrix of GEV: scale factor off. All scores and information matrix have been checked and limits as xi -> 0 implemented.
- ext.index number of exceedances off by one, causing Inf in weight vector for lm (thanks to @MCristinaMiranda). Warnings now silenced by default.
Changes:
- coordinates for rmev, rparp, etc. now use
coord
instead ofloc
to avoid confusion with location parameter inrgparp
- Removed dependency to ‘ismev’, ‘rootsolve’ (replaced with ‘nleqslv’ routine) and ‘numDeriv’.
- Change to plot for profile log-likelihood methods
- ‘smith.penult’ function has new arguments (backward compatible). The quantiles ‘u’ are now returned for Smith penultimate approximations with ‘method = “pot”’
mev 1.11 (Release date: 2018-02-23)
CRAN release: 2018-02-22
New:
- Function ‘rparp’ for simulation from R-Pareto Processes via rejection sampling
- Function ‘gepll’ 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 ‘gemle’ and ‘gpd.mle’ for maximum likelihood estimates of transformed parameters
- Functions ‘geabias’ 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 ‘getem’ and ‘gpd.tem’ are now a wrapper for ‘gepll’ 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 (thanks to A. Stephenson)
mev 1.10 (Release date: 2017-02-01)
CRAN release: 2017-02-01
mev 1.8.2 (Release date: 2016-08-24)
CRAN release: 2016-08-24
mev v1.7 (Release date: 2016-06-07)
mev v1.5 (Release date: 2016-02-16)
CRAN release: 2016-02-15
mev v1.3 (Release date: 2015-10-05)
CRAN release: 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).