Performs likelihood-based inference for stationary time series extremes. The general approach follows Fawcett and Walshaw (2012) <doi:10.1002/env.2133>. Marginal extreme value inferences are adjusted for cluster dependence in the data using the methodology in Chandler and Bate (2007) <doi:10.1093/biomet/asm015>, producing an adjusted log-likelihood for the model parameters. A log-likelihood for the extremal index is produced using the K-gaps model of Suveges and Davison (2010) <doi:10.1214/09-AOAS292>. These log-likelihoods are combined to make inferences about extreme values. Both maximum likelihood and Bayesian approaches are available.
| Version: | 1.1.1 |
| Depends: | R (≥ 3.3.0) |
| Imports: | chandwich,exdex, graphics,revdbayes,rust,sandwich, stats |
| Suggests: | knitr,rmarkdown,testthat (≥ 3.0.0) |
| Published: | 2024-07-17 |
| DOI: | 10.32614/CRAN.package.lite |
| Author: | Paul J. Northrop [aut, cre, cph] |
| Maintainer: | Paul J. Northrop <p.northrop at ucl.ac.uk> |
| BugReports: | https://github.com/paulnorthrop/lite/issues |
| License: | GPL-2 |GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://paulnorthrop.github.io/lite/,https://github.com/paulnorthrop/lite |
| NeedsCompilation: | no |
| Materials: | README,NEWS |
| CRAN checks: | lite results |
| Package source: | lite_1.1.1.tar.gz |
| Windows binaries: | r-devel:lite_1.1.1.zip, r-release:lite_1.1.1.zip, r-oldrel:lite_1.1.1.zip |
| macOS binaries: | r-release (arm64):lite_1.1.1.tgz, r-oldrel (arm64):lite_1.1.1.tgz, r-release (x86_64):lite_1.1.1.tgz, r-oldrel (x86_64):lite_1.1.1.tgz |
| Old sources: | lite archive |
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