graphicalExtremes
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Software:60598
CRANgraphicalExtremesMaRDI QIDQ60598FDOQ60598
Statistical Methodology for Graphical Extreme Value Models
Manuel Hentschel, Sebastian Engelke, Nicola Gnecco, Adrien S. Hitz
Last update: 22 February 2024
Copyright license: GNU General Public License, version 3.0
Software version identifier: 0.2.0, 0.1.0, 0.3.0, 0.3.1
Statistical methodology for sparse multivariate extreme value models. Methods are provided for exact simulation and statistical inference for multivariate Pareto distributions on graphical structures as described in the paper 'Graphical Models for Extremes' by Engelke and Hitz (2020) <doi:10.1111/rssb.12355>.
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