revdbayes: 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. In addition, there
are functions for making inferences about the extremal index, using
the models for threshold inter-exceedance times of Suveges and Davison
(2010) <doi:10.1214/09-AOAS292> and Holesovsky and Fusek (2020)
<doi:10.1007/s10687-020-00374-3>. Also provided are d,p,q,r functions for
the Generalised Extreme Value ('GEV') and Generalised Pareto ('GP')
distributions that deal appropriately with cases where the shape parameter
is very close to zero.
| Version: |
1.5.1 |
| Depends: |
R (≥ 3.3.0) |
| Imports: |
bayesplot (≥ 1.1.0), exdex, graphics, Rcpp, rust (≥ 1.2.2), stats, utils |
| LinkingTo: |
Rcpp (≥ 0.12.10), RcppArmadillo |
| Suggests: |
ggplot2 (≥ 2.2.1), knitr, microbenchmark, rmarkdown, testthat |
| Published: |
2023-01-05 |
| Author: |
Paul J. Northrop [aut, cre, cph],
Scott D. Grimshaw [ctb] |
| Maintainer: |
Paul J. Northrop <p.northrop at ucl.ac.uk> |
| BugReports: |
https://github.com/paulnorthrop/revdbayes/issues |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://paulnorthrop.github.io/revdbayes/,
https://github.com/paulnorthrop/revdbayes |
| NeedsCompilation: |
yes |
| Materials: |
README NEWS |
| In views: |
Bayesian, Distributions, ExtremeValue |
| CRAN checks: |
revdbayes results |
Documentation:
Downloads:
Reverse dependencies:
Linking:
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