Package index • mev

All functions

abisko: Abisko rainfall

angextrapo(): Bivariate angular dependence function for extrapolation based on rays

angmeas(): Rank-based transformation to angular measure

angmeasdir(): Dirichlet mixture smoothing of the angular measure

confint(<eprof>): Confidence intervals for profile likelihood objects

dgeoaniso(): Distance matrix with geometric anisotropy

egp: Extended generalised Pareto families

egp.pll(): Profile log likelihood for extended generalized Pareto models

pegp() degp() qegp() regp(): Extended generalized Pareto distribution

emplik(): Self-concordant empirical likelihood for a vector mean

eskrain: Eskdalemuir Observatory Daily Rainfall

expme(): Exponent measure for multivariate generalized Pareto distributions

ext.index(): Extremal index estimators based on interexceedance time and gap of exceedances

extcoef(): Estimators of the extremal coefficient

extgp.G: Carrier distribution for the extended GP distributions of Naveau et al.

extgp: Extended generalised Pareto families of Naveau et al. (2016)

extremo(): Pairwise extremogram for max-risk functional

fit.egp(): Parameter stability plot and maximum likelihood routine for extended GP models

fit.extgp(): Fit an extended generalized Pareto distribution of Naveau et al.

fit.gev(): Maximum likelihood estimation for the generalized extreme value distribution

fit.gpd(): Maximum likelihood estimation for the generalized Pareto distribution

fit.pp(): Maximum likelihood estimation of the point process of extremes

fit.rho(): Estimator of the second order tail index parameter

fit.rlarg(): Maximum likelihood estimates of point process for the r-largest observations

fit.shape(): Shape parameter estimates

fit.wgpd(): Maximum likelihood estimation for weighted generalized Pareto distribution

frwind: French wind data

geomagnetic: Magnetic storms

gev.Nyr(): N-year return levels, median and mean estimate

gev: Generalized extreme value distribution

gev.abias(): Asymptotic bias of block maxima for fixed sample sizes

gev.bcor(): Bias correction for GEV distribution

gev.mle(): Generalized extreme value maximum likelihood estimates for various quantities of interest

gev.pll(): Profile log-likelihood for the generalized extreme value distribution

gev.tem(): Tangent exponential model approximation for the GEV distribution

gevN: Generalized extreme value distribution (quantile/mean of N-block maxima parametrization)

qgev() rgev() dgev() pgev(): Generalized extreme value distribution

gevr: Generalized extreme value distribution (return level parametrization)

gpd: Generalized Pareto distribution

gpd.abias(): Asymptotic bias of threshold exceedances for k order statistics

gpd.bcor(): Bias correction for GP distribution

gpd.boot(): Bootstrap approximation for generalized Pareto parameters

gpd.lmom(): Estimation of generalized Pareto parameters via L-moments

gpd.mle(): Generalized Pareto maximum likelihood estimates for various quantities of interest

gpd.pll(): Profile log-likelihood for the generalized Pareto distribution

gpd.tem(): Tangent exponential model approximation for the GP distribution

gpdN: Generalized Pareto distribution (mean of maximum of N exceedances parametrization)

gpde: Generalized Pareto distribution (expected shortfall parametrization)

pgp() dgp() qgp() rgp(): Generalized Pareto distribution

gpdr: Generalized Pareto distribution (return level parametrization)

ibvpot(): Interpret bivariate threshold exceedance models

kjtail(): Estimators of the tail coefficient

lambdadep(): Estimation of the bivariate angular dependence function of Wadsworth and Tawn (2013)

leedspollution: Leeds air pollution

likmgp(): Likelihood for multivariate peaks over threshold models

maiquetia: Maiquetia Daily Rainfall

maxstable(): Transform arguments using max stability

mvrnorm(): Multivariate Normal distribution sampler

nidd: River Nidd Flow

nutrients: Nutrient data

pandemics: Deaths from pandemics

penultimate(): Smith's penultimate approximations

plot(<eprof>): Plot of (modified) profile likelihood

plot(<fr>): Plot of tangent exponential model profile likelihood

plot(<mev_shape_rbm>): Plots for random block maximum estimator

plot(<mev_thselect_vmetric>): Plots for Varty and al. metric-based threshold selection

plot(<mev_thselect_wadsworth>): Sequential analysis diagnostic plots for threshold selection

plot(<mev_tstab_mrl>): Mean residual life parameter stability plot

pp: Poisson process of extremes.

rdir(): Random variate generation for Dirichlet distribution on \(S_{d}\)

rgparp(): Simulation from generalized R-Pareto processes

rho.dk(): Second order tail index estimator of Drees and Kaufmann

rho.fagh(): Second order tail index estimator of Fraga Alves et al. Estimator of the second order regular variation parameter \(\rho \leq 0\) parameter for heavy-tailed data proposed by Fraga Alves et al. (2003)

rho.gbw(): Second order tail index estimator of Goegebeur et al. (2008)

rho.ghp(): Second order tail index estimator of Gomes et al.

rlarg: Distribution of the r-largest observations

rmev(): Exact simulations of multivariate extreme value distributions

rmevspec(): Random samples from spectral distributions of multivariate extreme value models.

rparp(): Simulation from R-Pareto processes

rparpcs(): Simulation from Pareto processes using composition sampling

rparpcshr(): Simulation of generalized Huesler-Reiss Pareto vectors via composition sampling

rrlarg(): Simulate r-largest observations from point process of extremes

shape.erm(): Exponential regression estimator

shape.genjack(): Generalized jackknife shape estimator

shape.genquant(): Beirlant et al. generalized quantile shape estimator

shape.hill(): Hill's estimator of the shape parameter

shape.lthill(): Lower-trimmed Hill estimator for the shape parameter

shape.moment(): Dekkers and de Haan moment estimator for the shape

shape.osz(): Extreme U-statistic Pickands estimator

shape.pickands(): Pickand's shape estimator

shape.rbm(): Random block maxima shape estimator of Wager

shape.trimhill(): Trimmed Hill estimator for the shape parameter

shape.vries(): de Vries shape estimator

spunif(): Semi-parametric marginal transformation to uniform

taildep(): Coefficient of tail correlation and tail dependence

test.maxstab(): P-P plot for testing max stability

test.scoreindep(): Ramos and Ledford test of independence

thselect.alrs(): Automatic L-moment ratio selection method

thselect.bab(): Lower truncated Hill threshold selection

thselect.cv(): Threshold selection via coefficient of variation

thselect.expgqt(): Generalized quantile threshold selection

thselect.gbw(): Kernel-based threshold selection of Goegebeur, Beirlant and de Wet (2008)

thselect.ksmd(): Mahalanobis distance-based methodology

thselect.mdps(): Minimum distance threshold selection procedure

thselect.mrl(): Automated mean residual life plots

thselect.ncpgp(): Northop and Coleman piecewise generalized Pareto threshold selection diagnostic

thselect.pec(): Prediction error C-criterion threshold selection method

thselect.pickands(): Pickands' order statistics threshold selection method

thselect.rbm(): Threshold selection for the random block maxima method

thselect.samsee(): Threshold selection via SAMSEE

thselect.sdinfo(): Threshold selection diagnostic of Suveges and Davison

thselect.vmetric(): Metric-based threshold selection

thselect.wseq(): Wadsworth's sequential analysis threshold selection

tstab.cv(): Coefficient of variation threshold stability plot

tstab.egp(): Threshold stability plots for extended generalized Pareto models

tstab.gpd(): Parameter stability plots for peaks-over-threshold

tstab.hill(): Threshold stability plot for Hill estimator

tstab.lthill(): Threshold stability plots for left-truncated Hill estimators

tstab.mrl(): Mean residual life plot

venice: Venice Sea Levels

w1500m: Best 200 times of Women 1500m Track

xasym(): Coefficient of extremal asymmetry