Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis

Provides functions for the Bayesian analysis of extreme value models. The 'rust' package < https://cran.r-project.org/package=rust> is used to simulate a random sample from the required posterior distribution. The functionality of 'revdbayes' is similar to the 'evdbayes' package < https://cran.r-project.org/package=evdbayes>, which uses Markov Chain Monte Carlo ('MCMC') methods for posterior simulation. Also provided are functions for making inferences about the extremal index, using the K-gaps model of Suveges and Davison (2010) . See the 'revdbayes' website for more information, documentation and examples.

revdbayes: Ratio-of-uniforms Sampling for Bayesian Extreme Value Analysis ------------------------------------------------------------------------- The revdbayes package uses the ratio-of-uniforms method to produce random samples from the posterior distributions that occur in some relatively simple Bayesian extreme value analyses. The functionality of revdbayes is similar to the evdbayes package https://cran.r-project.org/package=evdbayes, which uses Markov Chain Monte Carlo (MCMC) methods for posterior simulation.

The two main functions in revdbayes are set_prior and rpost. set_prior sets a prior for extreme value parameters. rpost samples from the posterior produced by updating this prior using the likelihood of observed data under an extreme value model. The following code sets a prior for Generalised Extreme Value (GEV) parameters based on a multivariate normal distribution and then simulates a random sample of size 1000 from the posterior distribution based on a dataset of annual maximum sea levels.

mat <- diag(c(10000, 10000, 100))
pn <- set_prior(prior = "norm", model = "gev", mean = c(0,0,0), cov = mat)
gevp  <- rpost(n = 1000, model = "gev", prior = pn, data = portpirie)

To get the current released version from CRAN:


See vignette("revdbayes-vignette", package = "revdbayes") for an overview of the package.


Reference manual

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1.3.1 by Paul J. Northrop, 3 months ago


Report a bug at http://github.com/paulnorthrop/revdbayes/issues

Browse source code at https://github.com/cran/revdbayes

Authors: Paul J. Northrop [aut, cre, cph]

Documentation:   PDF Manual  

Task views: Bayesian Inference, Extreme Value Analysis, Probability Distributions

GPL (>= 2) license

Imports bayesplot, graphics, methods, Rcpp, rust, stats, utils

Suggests evdbayes, ggplot2, knitr, microbenchmark, rmarkdown, testthat

Linking to Rcpp, RcppArmadillo

Imported by threshr.

Suggested by fitteR, rust.

See at CRAN