https://cran.r-project.org/package=rust> is used to simulate a random sample from the required posterior distribution. The functionality of 'revdbayes' is similar to the 'evdbayes' package <https://cran.r-project.org/package=evdbayes>, which uses Markov Chain Monte Carlo ('MCMC') methods for posterior simulation. In addition, there are functions for making inferences about the extremal index, using the models for threshold inter-exceedance times of Suveges and Davison (2010) <doi:10.1214/09-AOAS292> and Holesovsky and Fusek (2020) <doi:10.1007/s10687-020-00374-3>. Also provided are d,p,q,r functions for the Generalised Extreme Value ('GEV') and Generalised Pareto ('GP') distributions that deal appropriately with cases where the shape parameter is very close to zero.">

revdbayes: Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis (original) (raw)

Provides functions for the Bayesian analysis of extreme value models. The 'rust' package <https://cran.r-project.org/package=rust> is used to simulate a random sample from the required posterior distribution. The functionality of 'revdbayes' is similar to the 'evdbayes' package <https://cran.r-project.org/package=evdbayes>, which uses Markov Chain Monte Carlo ('MCMC') methods for posterior simulation. In addition, there are functions for making inferences about the extremal index, using the models for threshold inter-exceedance times of Suveges and Davison (2010) <doi:10.1214/09-AOAS292> and Holesovsky and Fusek (2020) <doi:10.1007/s10687-020-00374-3>. Also provided are d,p,q,r functions for the Generalised Extreme Value ('GEV') and Generalised Pareto ('GP') distributions that deal appropriately with cases where the shape parameter is very close to zero.

Version: 1.5.5
Depends: R (≥ 3.3.0)
Imports: bayesplot (≥ 1.1.0), exdex, graphics, Rcpp, rust (≥ 1.2.2), stats, utils
LinkingTo: Rcpp (≥ 0.12.10), RcppArmadillo
Suggests: ggplot2 (≥ 2.2.1), knitr, microbenchmark, rmarkdown, testthat
Published: 2024-08-18
DOI: 10.32614/CRAN.package.revdbayes
Author: Paul J. Northrop [aut, cre, cph], Scott D. Grimshaw [ctb]
Maintainer: Paul J. Northrop <p.northrop at ucl.ac.uk>
BugReports: https://github.com/paulnorthrop/revdbayes/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://paulnorthrop.github.io/revdbayes/,https://github.com/paulnorthrop/revdbayes
NeedsCompilation: yes
Materials: README, NEWS
In views: Bayesian, Distributions, ExtremeValue
CRAN checks: revdbayes results

Documentation:

Downloads:

Reverse dependencies:

Linking:

Please use the canonical formhttps://CRAN.R-project.org/package=revdbayesto link to this page.