Multivariate Extreme Value Distributions

Description

Exact simulation from max-stable processes and multivariate extreme value distributions for various parametric models.

Details

The package allows exact generation of multivariate extreme value vectors or max-stable processes. For the latter, the user can provide a variogram function along with a set of locations that serve as input. Models implemented include the 1-parameter logistic and negative logistic as described in the article, the bilogistic and Coles and Tawn extremal Dirichlet model using the algorithm of Boldi (2009) and the Dirichlet mixture. The extremal Student and Husler-Reiss (Brown-Resnick) models are also implemented.

A Dirichlet and a multinormal generator are part of the internal functions and are exported.

Author(s)

Leo Belzile

Maintainer: <leo.belzile@epfl.ch>

References

Dombry, Engelke and Oesting (2015) Exact simulation of max-stable processes arXiv:1506.04430v1, 1–24.

Boldi (2009). A note on the representation of parametric models for multivariate extremes. Extremes 12, 211–218.

Results