graphicalExtremes: Statistical Methodology for Graphical Extreme Value Models

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 (2018) <arXiv:1812.01734>.

Version: 0.1.0
Depends: R (≥ 3.6.0)
Imports: igraph (≥ 1.2.4.1), mvtnorm (≥ 1.0.10), matrixcalc (≥ 1.0.3), Rdpack, stats (≥ 3.6.0), grDevices (≥ 3.6.0)
Suggests: testthat (≥ 2.1.0)
Published: 2019-11-08
Author: Sebastian Engelke [aut, cre], Adrien S. Hitz [aut], Nicola Gnecco [aut]
Maintainer: Sebastian Engelke <sebastian.engelke at unige.ch>
License: GPL-3
NeedsCompilation: no
Materials: README
CRAN checks: graphicalExtremes results

Downloads:

Reference manual: graphicalExtremes.pdf
Package source: graphicalExtremes_0.1.0.tar.gz
Windows binaries: r-devel: graphicalExtremes_0.1.0.zip, r-devel-gcc8: graphicalExtremes_0.1.0.zip, r-release: graphicalExtremes_0.1.0.zip, r-oldrel: not available
OS X binaries: r-release: graphicalExtremes_0.1.0.tgz, r-oldrel: not available

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