graphicalExtremes: Statistical Methodology for Graphical Extreme Value Models (original) (raw)
Statistical methodology for sparse multivariate extreme value models. Methods are provided for exact simulation and statistical inference for multivariate Pareto distributions on graphical structures as described in the paper 'Graphical Models for Extremes' by Engelke and Hitz (2020) <doi:10.1111/rssb.12355>.
| Version: | 0.3.4 |
|---|---|
| Depends: | R (≥ 3.6.0) |
| Imports: | igraph (≥ 1.2.4.1), mvtnorm (≥ 1.0.10), Rdpack, stats (≥ 3.6.0), utils, corpcor, osqp, glmnet, glassoFast, CVXR |
| Suggests: | testthat (≥ 2.1.0), knitr, rmarkdown, dplyr, ggplot2, bookdown, edmcr, maps |
| Published: | 2025-06-13 |
| DOI: | 10.32614/CRAN.package.graphicalExtremes |
| Author: | Sebastian Engelke [aut, cre], Adrien S. Hitz [aut], Nicola Gnecco [aut], Manuel Hentschel [aut] |
| Maintainer: | Sebastian Engelke <sebastian.engelke at unige.ch> |
| BugReports: | https://github.com/sebastian-engelke/graphicalExtremes/issues |
| License: | GPL-3 |
| URL: | https://github.com/sebastian-engelke/graphicalExtremes |
| NeedsCompilation: | no |
| In views: | ExtremeValue |
| CRAN checks: | graphicalExtremes results |
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