Multivariate Extremes: Bayesian Estimation of the Spectral Measure


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Documentation for package ‘BMAmevt’ version 1.0.4

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BMAmevt-package Bayesian Model Averaging for Multivariate Extremes
add.frame Adds graphical elements to a plot of the two dimensional simplex.
BMAmevt Bayesian Model Averaging for Multivariate Extremes
cons.angular.dat Angular data set generation from unit Frechet data.
ddirimix Angular density/likelihood function in the Dirichlet Mixture model.
ddirimix.grid Plots the Dirichlet mixture density on a discretization grid
ddirimix.grid1D Univariate projection or marginalization of a Dirichlet mixture density on on '[0,1]'
dgridplot Image and/or Contour plots of spectral densities in trivariate extreme value models
diagnose Diagnostics for the MCMC output in the PB and NL models.
diagnose.PBNLpostsample Diagnostics for the MCMC output in the PB and NL models.
discretize Discretization grid builder.
dm.expar.D3k3 Example of valid Dirichlet mixture parameter for tri-variate extremes.
dnestlog Pairwise Beta (PB) and Nested Asymmetric Logistic (NL) distributions
dnestlog.grid PB and NL spectral densities on the two-dimensional simplex
dpairbeta Pairwise Beta (PB) and Nested Asymmetric Logistic (NL) distributions
dpairbeta.grid PB and NL spectral densities on the two-dimensional simplex
excessProb.condit.dm Probability of joint threshold exceedance, in the Dirichlet Mixture model, given a DM parameter.
excessProb.condit.nl Probability of joint threshold excess in the NL model
excessProb.nl Posterior distribution the probability of joint threshold excess, in the NL model.
excessProb.pb Estimates the probability of joint excess (Frechet margins)
expfunction.nl Exponent function in the NL model.
frechetdat Multivariate data set with margins following unit Frechet distribution.
invlogit Inverse logit transformation
laplace.evt Laplace approximation of a model marginal likelihood by Laplace approximation.
Leeds Tri-variate 'angular' data set approximately distributed according to a multivariate extremes angular distribution
Leeds.frechet Multivariate data set with margins following unit Frechet distribution.
logit Logit transformation
marginal.lkl Marginal model likelihood
marginal.lkl.nl Marginal likelihoods of the PB and NL models.
marginal.lkl.pb Marginal likelihoods of the PB and NL models.
maxLikelihood Maximum likelihood optimization
MCpriorIntFun Generic Monte-Carlo integration of a function under the prior distribution
MCpriorIntFun.nl Generic Monte-Carlo integration under the prior distribution in the PB and NL models.
MCpriorIntFun.pb Generic Monte-Carlo integration under the prior distribution in the PB and NL models.
nl.Hpar Default hyper-parameters for the NL model.
nl.MCpar Default MCMC tuning parameter for the Nested Asymmetric logistic model.
pb.Hpar Default hyper-parameters for the Pairwise Beta model.
pb.MCpar Default MCMC tuning parameter for the Pairwise Beta model.
posterior.predictive.nl Posterior predictive densities in the three dimensional PB, NL and NL3 models
posterior.predictive.pb Posterior predictive densities in the three dimensional PB, NL and NL3 models
posterior.predictive3D Posterior predictive density on the simplex, for three-dimensional extreme value models.
posteriorDistr.bma Posterior distribution in the average model
posteriorMCMC MC MC sampler for parametric spectral measures
posteriorMCMC.nl MC MC posterior samplers for the the PB and the NL model.
posteriorMCMC.pb MC MC posterior samplers for the the PB and the NL model.
posteriorMean Posterior predictive density on the simplex, for three-dimensional extreme value models.
posteriorWeights Posterior model weights
prior.nl Prior parameter distribution for the NL model
prior.pb Prior parameter distribution for the Pairwise Beta model
proposal.nl NL3 model: proposal distribution.
proposal.pb PB model: proposal distribution
rdirichlet Dirichlet distribution: random generator
rdirimix Angular density/likelihood function in the Dirichlet Mixture model.
rect.integrate Density integration on the two-dimensional simplex
rnestlog Pairwise Beta (PB) and Nested Asymmetric Logistic (NL) distributions
rpairbeta Pairwise Beta (PB) and Nested Asymmetric Logistic (NL) distributions
rstable.posit Positive alpha-stable distribution.
scores3D Logarithmic score and L^2 distance between two densities on the simplex (trivariate case).
transf.to.equi Linear coordinate transformations
transf.to.rect Linear coordinate transformations
winterdat Five-dimensional air quality dataset recorded in Leeds(U.K.), during five winter seasons.