doi:10.1093/biomet/asy026>, Thibaud and Opitz (2015) <doi:10.1093/biomet/asv045>, Wadsworth and Tawn (2014) <doi:10.1093/biomet/ast042> and Genz and Bretz (2009) <doi:10.1007/978-3-642-01689-9>.">

mvPot: Multivariate Peaks-over-Threshold Modelling for Spatial Extreme Events (original) (raw)

Tools for high-dimensional peaks-over-threshold inference and simulation of Brown-Resnick and extremal Student spatial extremal processes. These include optimization routines based on censored likelihood and gradient scoring, and exact simulation algorithms for max-stable and multivariate Pareto distributions based on rejection sampling. Fast multivariate Gaussian and Student distribution functions using separation-of-variable algorithm with quasi Monte Carlo integration are also provided. Key references include de Fondeville and Davison (2018) <doi:10.1093/biomet/asy026>, Thibaud and Opitz (2015) <doi:10.1093/biomet/asv045>, Wadsworth and Tawn (2014) <doi:10.1093/biomet/ast042> and Genz and Bretz (2009) <doi:10.1007/978-3-642-01689-9>.

Version: 0.1.7
Imports: MASS, evd, numbers, gmp
Published: 2025-03-13
DOI: 10.32614/CRAN.package.mvPot
Author: Raphael de FondevilleORCID iD [aut], Leo Belzile ORCID iD [aut, cre], Emeric Thibaud ORCID iD [ctb]
Maintainer: Leo Belzile
License: GPL-2
URL: https://github.com/r-fndv/mvPot
NeedsCompilation: yes
Materials: NEWS
CRAN checks: mvPot results

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