Statistical extreme value modelling of threshold excesses, maxima and multivariate extremes. Univariate models for threshold excesses and maxima are the Generalised Pareto, and Generalised Extreme Value model respectively. These models may be fitted by using maximum (optionally penalised-)likelihood, or Bayesian estimation, and both classes of models may be fitted with covariates in any/all model parameters. Model diagnostics support the fitting process. Graphical output for visualising fitted models and return level estimates is provided. For serially dependent sequences, the intervals declustering algorithm of Ferro and Segers is provided, with diagnostic support to aid selection of threshold and declustering horizon. Multivariate modelling is performed via the conditional approach of Heffernan and Tawn, with graphical tools for threshold selection and to diagnose estimation convergence.

Documentation

Manual: texmex.pdf
Vignette: None available.

Maintainer: Harry Southworth <harry.southworth at gmail.com>

Author(s): Harry Southworth*, Janet E. Heffernan*, Paul D. Metcalfe*

Install package and any missing dependencies by running this line in your R console:

install.packages("texmex")

Depends mvtnorm, ggplot2, stats
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Suggests MASS, gridExtra, parallel, lattice, knitr, testthat, devtools, GGally
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Package texmex
Materials
URL https://github.com/harrysouthworth/texmex
Task Views ExtremeValue
Version 2.3
Published 2016-11-18
License GPL (>= 2)
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks texmex check results
Package source texmex_2.3.tar.gz