ibvpot
(Package: mev) :
Interpret bivariate threshold exceedance models
This is an adaptation of the evir package interpret.gpdbiv function. interpret.fbvpot was adapted to deal with the output of a call to fbvpot from the evd and to handle families other than the logistic distribution. The likelihood derivation comes from expression 2.10 in Smith et al. (1997).
● Data Source:
CranContrib
● Keywords:
● Alias: ibvpot
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rmevspec
(Package: mev) :
Random samples from spectral distributions of multivariate extreme value models.
Generate from Qi, the spectral measure of a given multivariate extreme value model
● Data Source:
CranContrib
● Keywords:
● Alias: rmevspec
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NC.diag
(Package: mev) :
Score and likelihood ratio tests fit of equality of shape over multiple thresholds
The function returns a P-value path for the score testand/or likelihood ratio test for equality of the shape parameters over multiple thresholds under the generalized Pareto model.
● Data Source:
CranContrib
● Keywords:
● Alias: NC.diag
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rdir
(Package: mev) :
Random variate generation for Dirichlet distribution on eqn{S_{d
A function to sample Dirichlet random variables, based on the representation as ratios of Gamma. Note that the RNG will generate on the full simplex and the sum to one constraint is respected here
● Data Source:
CranContrib
● Keywords:
● Alias: rdir
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emplik
(Package: mev) :
Self-concordant empirical likelihood for a vector mean
Self-concordant empirical likelihood for a vector mean
● Data Source:
CranContrib
● Keywords:
● Alias: emplik
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mvrnorm
(Package: mev) :
Multivariate Normal distribution sampler
Sampler derived using the eigendecomposition of the covariance matrix Sigma. The function uses the Armadillo random normal generator
● Data Source:
CranContrib
● Keywords:
● Alias: mvrnorm
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Exact simulation from max-stable processes and multivariate extreme value distributions for various parametric models.
● Data Source:
CranContrib
● Keywords:
● Alias: mev, mev-package
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W.diag
(Package: mev) :
Wadsworth's univariate and bivariate exponential threshold diagnostics
Function to produce diagnostic plots and test statistics for the threshold diagnostics exploiting structure of maximum likelihood estimators based on the non-homogeneous Poisson process likelihood
● Data Source:
CranContrib
● Keywords:
● Alias: W.diag
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gp.fit
(Package: mev) :
Peaks-Over-Threshold Modelling using the Generalized Pareto Distribution
Numerical optimization of the Generalized Pareto distribution over a high threshold.
● Data Source:
CranContrib
● Keywords:
● Alias: gp.fit
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angmeas
(Package: mev) :
Rank-based transformation to angular measure
The method uses the pseudo-polar transformation for suitable norms, transforming the data to pseudo-observations, than marginally to unit Frechet or unit Pareto. Empirical or Euclidean weights are computed and return alongside of the angular and radial sample
● Data Source:
CranContrib
● Keywords:
● Alias: angmeas
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