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mvPot: Multivariate Peaks-over-Threshold Modelling for Spatial ExtremeEvents

Tools for high-dimensional peaks-over-threshold inference and simulation of Brown-Resnick and extremal Student spatial extremal processes. These include optimization routines based on censored likelihood and gradient scoring, and exact simulation algorithms for max-stable and multivariate Pareto distributions based on rejection sampling. Fast multivariate Gaussian and Student distribution functions using separation-of-variable algorithm with quasi Monte Carlo integration are also provided. Key references include de Fondeville and Davison (2018) <doi:10.1093/biomet/asy026>, Thibaud and Opitz (2015) <doi:10.1093/biomet/asv045>, Wadsworth and Tawn (2014) <doi:10.1093/biomet/ast042> and Genz and Bretz (2009) <doi:10.1007/978-3-642-01689-9>.

Version:	0.1.7
Imports:	MASS,evd,numbers,gmp
Published:	2025-03-13
DOI:	10.32614/CRAN.package.mvPot
Author:	Raphael de Fondeville [aut], Leo Belzile [aut, cre], Emeric Thibaud [ctb]
Maintainer:	Leo Belzile <belzilel at gmail.com>
License:	GPL-2
URL:	https://github.com/r-fndv/mvPot
NeedsCompilation:	yes
Materials:	NEWS
CRAN checks:	mvPot results

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