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 (2003) <doi:10.1111/1467-9868.00401> 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 (2004) <doi:10.1111/j.1467-9868.2004.02050.x>, with graphical tools for threshold selection and to diagnose estimation convergence.
Version: 2.4.9 Depends: mvtnorm, ggplot2, stats Imports: Rcpp (≥ 0.12.18) LinkingTo: Rcpp Suggests: MASS, gridExtra, parallel, lattice, knitr, rmarkdown, dplyr, tidyr, testthat, devtools, survival, ismev Published: 2024-03-04 DOI: 10.32614/CRAN.package.texmex Author: Harry Southworth [aut, cre], Janet E. Heffernan [aut], Paul D. Metcalfe [aut], Yiannis Papastathopoulos [ctb], Alec Stephenson [ctb], Stuart Coles [ctb] Maintainer: Harry Southworth <harry.southworth at gmail.com> License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] URL: https://github.com/harrysouthworth/texmex NeedsCompilation: yes Citation: texmex citation info Materials: README In views: ExtremeValue CRAN checks: texmex results Documentation: Downloads: Reverse dependencies: Reverse imports: RtsEva Reverse suggests: lax Linking:Please use the canonical form https://CRAN.R-project.org/package=texmex to link to this page.
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