revdbayes (Q29657)
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Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | revdbayes |
Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis |
Statements
2 December 2023
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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.
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expanded from: GPL (≥ 2) (English)
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