mvPot: Multivariate Peaks-over-Threshold Modelling for Spatial Extreme Events

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
Author:	Raphael de Fondeville [aut], Leo Belzile [aut, cre], Emeric Thibaud [ctb]
Maintainer:	Leo Belzile <belzilel at gmail.com>
License:	GPL-2
URL:	https://github.com/r-fndv/mvPot
NeedsCompilation:	yes
Materials:	NEWS
CRAN checks:	mvPot results

Documentation:

Reference manual:

mvPot.pdf

Downloads:

Package source:	mvPot_0.1.7.tar.gz
Windows binaries:	r-devel: not available, r-release: not available, r-oldrel: not available
macOS binaries:	r-devel (arm64): not available, r-release (arm64): not available, r-oldrel (arm64): not available, r-devel (x86_64): not available, r-release (x86_64): not available, r-oldrel (x86_64): not available
Old sources:	mvPot archive

Reverse dependencies:

Reverse suggests:

mev

Linking:

Please use the canonical form https://CRAN.R-project.org/package=mvPot to link to this page.