Multivariate Peaks-over-Threshold Modelling for Spatial Extreme Events

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) , Thibaud and Opitz (2015) , Wadsworth and Tawn (2014) and Genz and Bretz (2009) .


Reference manual

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install.packages("mvPot")

0.1.7 by Leo Belzile, 2 years ago


https://github.com/r-fndv/mvPot


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


Authors: Raphael de Fondeville [aut] , Leo Belzile [aut, cre] , Emeric Thibaud [ctb]


Documentation:   PDF Manual  


GPL-2 license


Imports MASS, evd, numbers, gmp


Suggested by mev.


See at CRAN