ExtremalDep
swMATH20333CRANExtremalDepMaRDI QIDQ32153
Extremal Dependence Models
Boris Beranger, Giulia Marcon, Simone A. Padoan
Last update: 25 September 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 0.0.4-0, 0.0.3-1, 0.0.3-3, 0.0.3-4, 0.0.3-5, 0.0.4-1
A set of procedures for parametric and non-parametric modelling of the dependence structure of multivariate extreme-values is provided. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and Bayesian techniques. It adapts the methodologies of Beranger and Padoan (2015) <arXiv:1508.05561>, Marcon et al. (2016) <doi:10.1214/16-EJS1162>, Marcon et al. (2017) <doi:10.1002/sta4.145>, Marcon et al. (2017) <doi:10.1016/j.jspi.2016.10.004> and Beranger et al. (2021) <doi:10.1007/s10687-019-00364-0>. This package also allows for the modelling of spatial extremes using flexible max-stable processes. It provides simulation algorithms and fitting procedures relying on the Stephenson-Tawn likelihood as per Beranger at al. (2021) <doi:10.1007/s10687-020-00376-1>.
- Bayesian inference for the extremal dependence
- A semi-parametric stochastic generator for bivariate extreme events
- Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
- Estimation and uncertainty quantification for extreme quantile regions
- High-dimensional inference using the extremal skew-t process
- Extreme Dependence Models
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