texmex: Statistical Modelling of Extreme Values

Statistical extreme value modelling of threshold excesses, maxima and multivariate extremes. Univariate models for threshold excesses and maxima are the Generalised Pareto, and Generalised Extreme Value model respectively. These models may be fitted by using maximum (optionally penalised-)likelihood, or Bayesian estimation, and both classes of models may be fitted with covariates in any/all model parameters. Model diagnostics support the fitting process. Graphical output for visualising fitted models and return level estimates is provided. For serially dependent sequences, the intervals declustering algorithm of Ferro and Segers (2003) <doi:10.1111/1467-9868.00401> is provided, with diagnostic support to aid selection of threshold and declustering horizon. Multivariate modelling is performed via the conditional approach of Heffernan and Tawn (2004) <doi:10.1111/j.1467-9868.2004.02050.x>, with graphical tools for threshold selection and to diagnose estimation convergence.

Version: 2.4.9
Depends: mvtnorm, ggplot2, stats
Imports: Rcpp (≥ 0.12.18)
LinkingTo: Rcpp
Suggests: MASS, gridExtra, parallel, lattice, knitr, rmarkdown, dplyr, tidyr, testthat, devtools, survival, ismev
Published: 2024-03-04
DOI: 10.32614/CRAN.package.texmex
Author: Harry Southworth [aut, cre], Janet E. Heffernan [aut], Paul D. Metcalfe [aut], Yiannis Papastathopoulos [ctb], Alec Stephenson [ctb], Stuart Coles [ctb]
Maintainer: Harry Southworth <harry.southworth at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/harrysouthworth/texmex
NeedsCompilation: yes
Citation: texmex citation info
Materials: README
In views: ExtremeValue
CRAN checks: texmex results


Reference manual: texmex.pdf
Vignettes: texmexVignettes


Package source: texmex_2.4.9.tar.gz
Windows binaries: r-devel: texmex_2.4.9.zip, r-release: texmex_2.4.9.zip, r-oldrel: texmex_2.4.9.zip
macOS binaries: r-release (arm64): texmex_2.4.9.tgz, r-oldrel (arm64): texmex_2.4.9.tgz, r-release (x86_64): texmex_2.4.9.tgz, r-oldrel (x86_64): texmex_2.4.9.tgz
Old sources: texmex archive

Reverse dependencies:

Reverse imports: RtsEva
Reverse suggests: lax


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