ExtremalDep: Extremal Dependence Models

A set of procedures for modelling parametrically and non-parametrically the dependence structure of multivariate extreme-values is provided. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and Bayesian techniques. Adapts the methodologies derived in Beranger et al. (2019) <arxiv:1904.08251>, Beranger et al. (2017) <doi:10.1111/sjos.12240>, Beranger and Padoan (2015) <arxiv:1508.05561>, Marcon et al. (2017) <doi:10.1002/sta4.145>, Marcon et al. (2017) <doi:10.1016/j.jspi.2016.10.004> and Marcon et al. (2016) <doi:10.1214/16-EJS1162>. It also refers to the works of Bortot (2010) <https://pdfs.semanticscholar.org/b0dc/1cb608d35bf515c76e39aacc14b4de82e281.pdf>, Padoan (2011) <doi:10.1016/j.jmva.2011.01.014>, Cooley et al. (2010) <doi:10.1016/j.jmva.2010.04.007>, Husler and Reiss (1989) <doi:10.1016/0167-7152(89)90106-5>, Engelke et al. (2015) <doi:10.1111/rssb.12074>, Coles and Tawn (1991) <doi:10.1111/j.2517-6161.1991.tb01830.x>, Nikoloulopoulos et al. (2011) <doi:10.1007/s10687-008-0072-4>, Opitz (2013) <doi:10.1016/j.jmva.2013.08.008>, Tawn (1990) <doi:10.2307/2336802>, Azzalini (1985) <https://www.jstor.org/stable/pdf/4615982.pdf>, Azzalini and Capitanio (2014) <doi:10.1017/CBO9781139248891>, Azzalini (2003) <doi:10.1111/1467-9469.00322>, Azzalini and Capitanio (1999) <doi:10.1111/1467-9868.00194>, Azzalini and Dalla Valle (1996) <doi:10.1093/biomet/83.4.715>, Einmahl et al. (2013) <doi:10.1007/s10687-012-0156-z>, Naveau et al (2009) <doi:10.1093/biomet/asp001> and Heffernan and Tawn (2004) <doi:10.1111/j.1467-9868.2004.02050.x>.

Version: 0.0.3-1
Depends: R (≥ 2.10)
Imports: numDeriv, evd, sn, CompRandFld, quadprog, copula, nloptr, gtools, mvtnorm, rlist, fda
Published: 2019-08-29
Author: Boris Beranger [aut], Simone Padoan [cre, aut], Giulia Marcon [aut], Steven G. Johnson [ctb] (Author of included cubature fragments)
Maintainer: Simone Padoan <simone.padoan at unibocconi.it>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: ExtremalDep results

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Reference manual: ExtremalDep.pdf
Package source: ExtremalDep_0.0.3-1.tar.gz
Windows binaries: r-devel: ExtremalDep_0.0.3-1.zip, r-devel-gcc8: ExtremalDep_0.0.3-1.zip, r-release: ExtremalDep_0.0.3-1.zip, r-oldrel: ExtremalDep_0.0.3-1.zip
OS X binaries: r-release: ExtremalDep_0.0.3-1.tgz, r-oldrel: ExtremalDep_0.0.3-1.tgz

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