Statistical extreme value modelling of threshold excesses,
maxima and multivariate extremes. Univariate models for threshold
excesses and maxima are the Generalised Pareto, and Generalised
Extreme Value model respectively. These models may be fitted by
using maximum (optionally penalised-)likelihood, or Bayesian
estimation, and both classes of models may be fitted with covariates
in any/all model parameters. Model diagnostics support the fitting
process. Graphical output for visualising fitted models and return
level estimates is provided. For serially dependent sequences, the
intervals declustering algorithm of Ferro and Segers
Extreme value modelling with R. Includes univariate modelling using generalized Pareto distributions and generalized extreme value distributions, and the multivariate conditional approach of Heffernan and Tawn.
The package contains a test suite that depends on the testthat package. To use the test suite, install using 'R CMD INSTALL --install-tests' and then running 'test_package("texmex")' within R.
This work was partially funded by AstraZeneca.