revdbayes
swMATH17804CRANrevdbayesMaRDI QIDQ29657FDOQ29657
Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis
Last update: 2 December 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.5.1, 1.0.0, 1.1.0, 1.2.0, 1.2.1, 1.3.1, 1.3.2, 1.3.3, 1.3.4, 1.3.5, 1.3.6, 1.3.7, 1.3.8, 1.3.9, 1.4.9, 1.5.0, 1.5.2, 1.5.3
Source code repository: https://github.com/cran/revdbayes
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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