R: Modelling of Extreme Values

# Modelling of Extreme Values

## Documentation for package ‘mev’ version 2.2

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Package NEWS.

## Help Pages

A B C D E F G I L M N P Q R S T V W X

## -- A --

abisko | Abisko rainfall
adf | Estimation of the bivariate angular dependence function
angmeas | Rank-based transformation to angular measure
angmeasdir | Dirichlet mixture smoothing of the angular measure

## -- B --

build.blocks | Compute block maxima and order them by block

## -- C --

cheeseborowind | Cheeseboro wind speed data
confint.eprof | Confidence intervals for profile likelihood objects

## -- D --

degp | Extended generalized Pareto distribution
dgeoaniso | Distance matrix with geometric anisotropy
dgev | Generalized extreme value distribution
dgp | Generalized Pareto distribution

## -- E --

egp | Extended generalised Pareto families
egp.pll | Profile log likelihood for extended generalized Pareto models
egpdist | Extended generalized Pareto distribution
emplik | Self-concordant empirical likelihood for a vector mean
eskrain | Eskdalemuir Observatory Daily Rainfall
expme | Exponent measure for multivariate generalized Pareto distributions
extgp | Extended generalised Pareto families of Naveau et al. (2016)
extgp.G | Carrier distribution for the extended GP distributions of Naveau et al.

## -- F --

fit.egp | Parameter stability plot and maximum likelihood routine for extended GP models
fit.extgp | Fit an extended generalized Pareto distribution of Naveau et al.
fit.gev | Maximum likelihood estimation for the generalized extreme value distribution
fit.gevblock | Optimization for the GEV likelihood for blocks
fit.gpd | Maximum likelihood estimation for the generalized Pareto distribution
fit.pp | Maximum likelihood estimation of the point process of extremes
fit.rho | Estimator of the second order tail index parameter
fit.rlarg | Maximum likelihood estimates of point process for the r-largest observations
fit.shape | Shape parameter estimates
fit.wgpd | Maximum likelihood estimation for weighted generalized Pareto distribution
frwind | French wind data

## -- G --

geomagnetic | Magnetic storms
gev | Generalized extreme value distribution
gev.abias | Asymptotic bias of block maxima for fixed sample sizes
gev.bcor | Bias correction for GEV distribution
gev.boot | Bootstrap approximation for generalized extreme value parameters
gev.mle | Generalized extreme value maximum likelihood estimates for various quantities of interest
gev.Nyr | N-year return levels, median and mean estimate
gev.pll | Profile log-likelihood for the generalized extreme value distribution
gev.tem | Tangent exponential model approximation for the GEV distribution
gevdist | Generalized extreme value distribution
gevN | Generalized extreme value distribution (quantile/mean of N-block maxima parametrization)
gevr | Generalized extreme value distribution (return level parametrization)
gpd | Generalized Pareto distribution
gpd.abias | Asymptotic bias of threshold exceedances for k order statistics
gpd.bcor | Bias correction for GP distribution
gpd.boot | Bootstrap approximation for generalized Pareto parameters
gpd.lmom | Estimation of generalized Pareto parameters via L-moments
gpd.mle | Generalized Pareto maximum likelihood estimates for various quantities of interest
gpd.pll | Profile log-likelihood for the generalized Pareto distribution
gpd.tem | Tangent exponential model approximation for the GP distribution
gpde | Generalized Pareto distribution (expected shortfall parametrization)
gpdist | Generalized Pareto distribution
gpdN | Generalized Pareto distribution (mean of maximum of N exceedances parametrization)
gpdr | Generalized Pareto distribution (return level parametrization)

## -- I --

ibvpot | Interpret bivariate threshold exceedance models

## -- L --

leedspollution | Leeds air pollution

## -- M --

maiquetia | Maiquetia Daily Rainfall
maxstable | Transform arguments using max stability
mgp.cll | Censored likelihood for multivariate peaks over threshold models
mgp.ll | Likelihood for multivariate peaks over threshold models

## -- N --

nidd | River Nidd Flow
nutrients | Nutrient data

## -- P --

pandemics | Deaths from pandemics
pegp | Extended generalized Pareto distribution
penultimate | Smith's penultimate approximations
pgev | Generalized extreme value distribution
pgp | Generalized Pareto distribution
plot.eprof | Plot of (modified) profile likelihood
plot.fr | Plot of tangent exponential model profile likelihood
plot.mev_shape_rbm | Random block maxima shape estimator of Wager
plot.mev_thselect_automrl | Automated mean residual life plots
plot.mev_thselect_vmetric | Metric-based threshold selection
plot.mev_thselect_wadsworth | Sequential analysis diagnostic plots for threshold selection
plot.mev_tstab_mrl | Mean residual life parameter stability plot
pp | Poisson process of extremes.

## -- Q --

qegp | Extended generalized Pareto distribution
qgev | Generalized extreme value distribution
qgp | Generalized Pareto distribution
qqplot.blocksize | Diagnostic plots for max-stability based on blocks of GEV samples
qqplot.unif | Pointwise and simultaneous binomial confidence intervals for uniform via simulation
qweissman | Weissman's quantile estimator

## -- R --

rdir | Random variate generation for Dirichlet distribution on Sd
regp | Extended generalized Pareto distribution
rgev | Generalized extreme value distribution
rgp | Generalized Pareto distribution
rgparp | Simulation from generalized R-Pareto processes
rho.dk | Second order tail index estimator of Drees and Kaufmann
rho.fagh | Second order tail index estimator of Fraga Alves et al. Estimator of the second order regular variation parameter rho <=q 0 parameter for heavy-tailed data proposed by Fraga Alves et al. (2003)
rho.gbw | Second order tail index estimator of Goegebeur et al. (2008)
rho.ghp | Second order tail index estimator of Gomes et al.
rlarg | Distribution of the r-largest observations
rmar1 | Simulation from first-order max-autoregressive processes
rmev | Exact simulations of multivariate extreme value distributions
rmevspec | Random samples from spectral distributions of multivariate extreme value models.
rmnorm | Multivariate Normal distribution sampler
rparp | Simulation from R-Pareto processes
rparpcs | Simulation from Pareto processes using composition sampling
rparpcshr | Simulation of generalized Huesler-Reiss Pareto vectors via composition sampling
rrlarg | Simulate r-largest observations from point process of extremes

## -- S --

shape.erm | Exponential regression estimator of the shape
shape.genjack | Generalized jackknife shape estimator
shape.genquant | Beirlant et al. generalized quantile shape estimator
shape.hill | Hill's estimator of the shape parameter
shape.lthill | Lower-trimmed Hill shape estimator
shape.moment | Dekkers and de Haan moment estimator for the shape
shape.osz | Extreme U-statistic Pickands shape estimator
shape.pickands | Pickand's shape estimator
shape.rbm | Random block maxima shape estimator of Wager
shape.trimhill | Trimmed Hill estimator for the shape parameter
shape.vries | de Vries shape estimator
spunif | Semi-parametric marginal transformation to uniform

## -- T --

taildep | Coefficient of tail correlation and tail dependence
test.blocksize | Likelihood ratio test for max-stability
test.maxstab | P-P plot for testing max stability
test.scoreindep | Ramos and Ledford test of independence
thames | Thames river flow at Kingston
thselect.alrs | Automatic L-moment ratio selection method
thselect.bab | Lower truncated Hill threshold selection
thselect.cbm | Threshold selection by shape mean square error minimization
thselect.cv | Threshold selection via coefficient of variation
thselect.egp | Threshold selection based on extended generalized Pareto models
thselect.expgqt | Generalized quantile threshold selection
thselect.gbw | Kernel-based threshold selection of Goegebeur, Beirlant and de Wet (2008)
thselect.goks | Threshold selection based on weighted Kolmogorov-Smirnov distance
thselect.ksmd | Mahalanobis distance-based methodology
thselect.mdps | Minimum distance threshold selection procedure
thselect.mrl | Automated mean residual life plots
thselect.ncpgp | Northop and Coleman piecewise generalized Pareto threshold selection diagnostic
thselect.pec | Prediction error C-criterion threshold selection method
thselect.pickands | Pickands' order statistics threshold selection method
thselect.rbm | Threshold selection for the random block maxima method
thselect.samsee | Threshold selection via SAMSEE
thselect.sdinfo | Threshold selection diagnostic of Suveges and Davison
thselect.vmetric | Metric-based threshold selection
thselect.wcvm | Threshold selection via minimization of the weighted Cramer-von Mises distance
thselect.wseq | Sequential analysis diagnostic plots for threshold selection
tstab.cv | Coefficient of variation threshold stability plot
tstab.egp | Threshold stability plots for extended generalized Pareto models
tstab.gpd | Parameter stability plots for peaks-over-threshold
tstab.hill | Threshold stability plot for Hill estimator
tstab.lthill | Threshold stability plots for left-truncated Hill estimators
tstab.mrl | Mean residual life plot

## -- V --

venice | Venice Sea Levels

## -- W --

w1500m | Best 200 times of Women 1500m Track

## -- X --

xacf | Extremogram
xdep.asym | Coefficient of extremal asymmetry
xdep.chi | Coefficient of tail correlation
xdep.chibar | Coefficient chi-bar
xdep.eta | Coefficient of tail dependence
xdep.xcoef | Coefficient of extremal index
xdep.xindex | Extremal index coefficient