Multivariate Extreme Value Distributions


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Documentation for package ‘mev’ version 1.10

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mev-package Multivariate Extreme Value Distributions
angmeas Rank-based transformation to angular measure
confint.fr Confidence intervals for profile likelihood derived from TEM
egp Extended generalised Pareto families
egp.fit Fit of extended GP models and parameter stability plots
egp.fitrange Fit of extended GP models and parameter stability plots
egp2 Extended generalised Pareto families of Naveau et al. (2016)
egp2.fit Fit an extended generalized Pareto distribution of Naveau et al.
egp2.G Carrier distribution for the extended GP distributions of Naveau et al.
emplik Self-concordant empirical likelihood for a vector mean
ext.index Extremal index estimators based on interexceedance time and gap of exceedances
gev Generalized extreme value distribution
gev.tem Tangent exponential model approximation for the GEV distribution
gevr Generalized extreme value distribution (return level parametrization)
gp.fit Peaks-over-threshold modelling using the generalized Pareto distribution
gpd Generalized Pareto distribution
gpd.bcor Bias correction using Firth's modified score function or bias substraction
gpd.tem Tangent exponential model approximation for the GP distribution
gpde Generalized Pareto distribution (expected shortfall parametrization)
gpdr Generalized Pareto distribution (return level parametrization)
ibvpot Interpret bivariate threshold exceedance models
infomat.test Information matrix test statistic and MLE for the extremal index
mev Multivariate Extreme Value Distributions
mvrnorm Multivariate Normal distribution sampler
NC.diag Score and likelihood ratio tests fit of equality of shape over multiple thresholds
plot.fr Plot of tangent exponential model profile likelihood
rdir Random variate generation for Dirichlet distribution on Sd
rmev Exact simulations of multivariate extreme value distributions
rmevspec Random samples from spectral distributions of multivariate extreme value models.
smith.penult Smith (1987) penultimate approximations
smith.penult.fn Smith (1987) third penultimate approximation
spline.corr Spline correction for Fraser-Reid approximations
W.diag Wadsworth's univariate and bivariate exponential threshold diagnostics