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) <doi:10.48550/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>.
| Version: | 1.0.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | numDeriv,evd,sn,quadprog,copula,nloptr,gtools,mvtnorm,fda, parallel,doParallel,foreach,cluster, methods |
| Suggests: | fields,extraDistr |
| Published: | 2025-08-21 |
| DOI: | 10.32614/CRAN.package.ExtremalDep |
| Author: | Boris Beranger [aut], Simone Padoan [cre, aut], Giulia Marcon [aut], Steven G. Johnson [ctb] (Author of included cubature fragments), Rudolf Schuerer [ctb] (Author of included cubature fragments), Brian Gough [ctb] (Author of included cubature fragments), Alec G. Stephenson [ctb], Anne Sabourin [ctb] (Author of included BMAmevt fragments), Philippe Naveau [ctb] (Author of PAMfmado function) |
| Maintainer: | Simone Padoan <simone.padoan at unibocconi.it> |
| BugReports: | https://github.com/borisberanger/ExtremalDep/issues |
| License: | GPL-2 |GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://faculty.unibocconi.it/simonepadoan/ |
| NeedsCompilation: | yes |
| Materials: | README |
| In views: | ExtremeValue |
| CRAN checks: | ExtremalDep results |