lax: Loglikelihood Adjustment for Extreme Value Models

Performs adjusted inferences based on model objects fitted, using maximum likelihood estimation, by the extreme value analysis packages 'evd' <https://cran.r-project.org/package=evd>, 'evir' <https://cran.r-project.org/package=evir>, 'extRemes' <https://cran.r-project.org/package=extRemes>, 'fExtremes' <https://cran.r-project.org/package=fExtremes>, 'ismev' <https://cran.r-project.org/package=ismev>, 'mev' <https://cran.r-project.org/package=mev>, 'POT' <https://cran.r-project.org/package=POT> and 'texmex' <https://cran.r-project.org/package=texmex>. Adjusted standard errors and an adjusted loglikelihood are provided, using the 'chandwich' package <https://cran.r-project.org/package=chandwich> and the object-oriented features of the 'sandwich' package <https://cran.r-project.org/package=sandwich>. The adjustment is based on a robust sandwich estimator of the parameter covariance matrix, based on the methodology in Chandler and Bate (2007) <doi:10.1093/biomet/asm015>. This can be used for cluster correlated data when interest lies in the parameters of the marginal distributions, or for performing inferences that are robust to certain types of model misspecification. Univariate extreme value models, including regression models, are supported.

Version: 1.1.0
Depends: R (≥ 3.3.0)
Imports: chandwich, graphics, numDeriv, revdbayes, sandwich, stats, utils
Suggests: distillery, evd, evir, extRemes, fExtremes, ismev, knitr, mev, POT, rmarkdown, testthat, texmex
Published: 2019-12-05
Author: Paul J. Northrop [aut, cre, cph], Camellia Yin [aut, cph]
Maintainer: Paul J. Northrop <p.northrop at ucl.ac.uk>
BugReports: http://github.com/paulnorthrop/lax/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://paulnorthrop.github.io/lax/, http://github.com/paulnorthrop/lax
NeedsCompilation: no
Materials: README NEWS
CRAN checks: lax results

Downloads:

Reference manual: lax.pdf
Vignettes: An overview of lax
Package source: lax_1.1.0.tar.gz
Windows binaries: r-devel: lax_1.1.0.zip, r-devel-gcc8: lax_1.1.0.zip, r-release: lax_1.1.0.zip, r-oldrel: lax_1.1.0.zip
OS X binaries: r-release: lax_1.1.0.tgz, r-oldrel: lax_1.1.0.tgz
Old sources: lax archive

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