R/revdbayes-package.Rrevdbayes-package.RdUses the multivariate generalized ratio-of-uniforms method to simulaterandom samples from the posterior distributions commonly encountered inBayesian extreme value analyses.
The main functions in the revdbayes package arerpost andrpost_rcpp, which simulate random samples from the posterior distribution of extreme value model parameters using the functionsru andru_rcpp from the rust package, respectively. The user chooses the extreme value model, the prior density for the parameters and provides the data. There are options to improve the probability of acceptance of the ratio-of-uniforms algorithm by working with transformation of the model parameters.
The functionskgaps_post anddgaps_post simulate from the posterior distribution of the extremal index \(\theta\) based on the K-gaps model for threshold interexceedance times of Suveges and Davison (2010) and the similar D-gaps model of Holesovsky and Fusek (2020). See also Attalides (2015).
Seevignette("revdbayes-a-vignette", package = "revdbayes") for an overview of the package andvignette("revdbayes-b-using-rcpp-vignette", package = "revdbayes") for an illustration of the improvements in efficiency produced using the Rcpp package. Seevignette("revdbayes-c-predictive-vignette", package = "revdbayes") for an outline of how to use revdbayes to perform posterior predictive extreme value inference andvignette("revdbayes-d-kgaps-vignette", package = "revdbayes") considers Bayesian inference for the extremal index \(\theta\) using threshold inter-exceedance times.
Holesovsky, J. and Fusek, M. Estimation of the extremal index using censored distributions. Extremes 23, 197-213 (2020).doi:10.1007/s10687-020-00374-3
Northrop, P. J. (2016). rust: Ratio-of-Uniforms Simulation with Transformation. R package version 1.2.2.https://cran.r-project.org/package=rust.
Suveges, M. and Davison, A. C. (2010) Model misspecification in peaks over threshold analysis,The Annals of Applied Statistics,4(1), 203-221.doi:10.1214/09-AOAS292
Attalides, N. (2015) Threshold-based extreme value modelling, PhD thesis, University College London.https://discovery.ucl.ac.uk/1471121/1/Nicolas_Attalides_Thesis.pdf
set_prior to set a prior density for extreme value parameters.
rpost andrpost_rcpp to perform ratio-of-uniforms sampling from an extreme value posterior distribution.
kgaps_post anddgaps_post to sample from a posterior distribution for the extremal index based on inter-exceedance times.
Theru andru_rcpp functions in therust package for details of the arguments that can be passed toru viarpost and for the form of the object (of class"evpost") returned fromrpost, which has the same structure as an object (of class"ru") returned byru andru_rcpp.
Maintainer: Paul J. Northropp.northrop@ucl.ac.uk [copyright holder]
Other contributors:
Scott D. Grimshaw [contributor]