Performs likelihood-based inference for stationary time series extremes. The general approach follows Fawcett and Walshaw (2012) <doi:10.1002/env.2133>. Marginal extreme value inferences are adjusted for cluster dependence in the data using the methodology in Chandler and Bate (2007) <doi:10.1093/biomet/asm015>, producing an adjusted log-likelihood for the model parameters. A log-likelihood for the extremal index is produced using the K-gaps model of Suveges and Davison (2010) <doi:10.1214/09-AOAS292>. These log-likelihoods are combined to make inferences about extreme values. Both maximum likelihood and Bayesian approaches are available.
Version: 1.1.1 Depends: R (≥ 3.3.0) Imports: chandwich, exdex, graphics, revdbayes, rust, sandwich, stats Suggests: knitr, rmarkdown, testthat (≥ 3.0.0) Published: 2024-07-17 DOI: 10.32614/CRAN.package.lite Author: Paul J. Northrop [aut, cre, cph] Maintainer: Paul J. Northrop <p.northrop at ucl.ac.uk> BugReports: https://github.com/paulnorthrop/lite/issues License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] URL: https://paulnorthrop.github.io/lite/, https://github.com/paulnorthrop/lite NeedsCompilation: no Materials: README NEWS CRAN checks: lite results Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=lite to link to this page.
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