Package: graphicalExtremes 0.3.3

graphicalExtremes: Statistical Methodology for Graphical Extreme Value Models

Statistical methodology for sparse multivariate extreme value models. Methods are provided for exact simulation and statistical inference for multivariate Pareto distributions on graphical structures as described in the paper 'Graphical Models for Extremes' by Engelke and Hitz (2020) <doi:10.1111/rssb.12355>.

Authors:Sebastian Engelke [aut, cre], Adrien S. Hitz [aut], Nicola Gnecco [aut], Manuel Hentschel [aut]

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graphicalExtremes.pdf |graphicalExtremes.html✨
graphicalExtremes/json (API)

# Install 'graphicalExtremes' in R:
install.packages('graphicalExtremes', repos = c('https://sebastian-engelke.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/sebastian-engelke/graphicalextremes/issues

Datasets:

On CRAN:

7.42 score 15 stars 1 packages 28 scripts 677 downloads 70 exports 33 dependencies

Last updated 1 months agofrom:40f6756199. Checks:1 OK, 7 NOTE. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKFeb 08 2025
R-4.5-winNOTEFeb 08 2025
R-4.5-macNOTEFeb 08 2025
R-4.5-linuxNOTEFeb 08 2025
R-4.4-winNOTEFeb 08 2025
R-4.4-macNOTEFeb 08 2025
R-4.3-winNOTEFeb 08 2025
R-4.3-macNOTEFeb 08 2025

Exports:checkGammacheckMatrixcheckSigmacheckSigmaThetacheckThetachi2Gammacomplete_Gammacomplete_Gamma_decomposablecomplete_Gamma_generalcomplete_Gamma_general_democomplete_Gamma_general_splitdata2mparetoeglatenteglearnemp_chiemp_chi_multdimemp_chi_pairwiseemp_varioemp_vario_pairwiseemstemtp2ensure_matrix_symmetryensure_matrix_symmetry_and_truncate_zerosfit_graph_to_ThetaflightCountMatrixToConnectionListfmpareto_graph_HRfmpareto_HR_MLEGamma2chiGamma2GammaGamma2graphGamma2SigmaGamma2Thetagenerate_random_cactusgenerate_random_chordal_graphgenerate_random_connected_graphgenerate_random_Gammagenerate_random_graphical_Gammagenerate_random_integer_Gammagenerate_random_modelgenerate_random_spd_matrixgenerate_random_treeget_alert_functionget_large_tolget_mc_coresget_small_tolgetDanubeFlowGraphgetFlightDelayDatagetFlightGraphis_valid_Gammais_valid_Sigmais_valid_Thetaloglik_HRmatrix2matrixpartialMatrixToGraphplotDanubeplotDanubeIGraphplotFlightsrmparetormpareto_treermstablermstable_treeSigma2GammaSigma2graphSigma2SigmaSigma2ThetaTheta2GammaTheta2graphTheta2SigmaTheta2Thetatruncate_zeros

Dependencies:bitbit64clicodetoolscorpcorcpp11CVXRECOSolveRforeachglassoFastglmnetgluegmpigraphiteratorslatticelifecyclemagrittrMatrixmvtnormosqppkgconfigR6rbibutilsRcppRcppEigenRdpackrlangRmpfrscsshapesurvivalvctrs

Application to flight data

Rendered fromapplicationFlights.Rmdusingknitr::rmarkdownon Feb 08 2025.

Last update: 2023-11-13
Started: 2023-10-25

Introduction and application to Danube data

Rendered fromapplicationDanube.Rmdusingknitr::rmarkdownon Feb 08 2025.

Last update: 2023-11-13
Started: 2023-10-25

Readme and manuals

Help Manual

Help pageTopics
HR parameter matrix checkscheckGamma checkMatrix checkSigma checkSigmaTheta checkTheta is_valid_Gamma is_valid_Sigma is_valid_Theta
Transformation between chi and Gammachi2Gamma Gamma2chi
Completion of Gamma matricescomplete_Gamma
Completion of decomposable Gamma matricescomplete_Gamma_decomposable
Non-decomposable completion of variogram matricescomplete_Gamma_general
DEMO-VERSION: Completion of non-decomposable Gamma matricescomplete_Gamma_general_demo
Non-decomposable completion of variogram matricescomplete_Gamma_general_split
Upper Danube basin datasetdanube
Data standardization to multivariate Pareto scaledata2mpareto
Learning extremal graph structure with latent variableseglatent
Learning extremal graph structureeglearn
Empirical estimation of extremal correlation matrix chiemp_chi emp_chi_pairwise
Empirical estimation of extremal correlation chiemp_chi_multdim
Estimation of the variogram matrix Gamma of a Huesler-Reiss distributionemp_vario emp_vario_pairwise
Fitting extremal minimum spanning treeemst
Performs Gaussian likelihood optimization under Laplacian matrix constraints.emtp2
Ensure numerical matrix symmetry/zero valuesensure_matrix_symmetry ensure_matrix_symmetry_and_truncate_zeros truncate_zeros
Experimental: Fit graph using empirical Theta matrixfit_graph_to_Theta
Convert flight counts to connection listflightCountMatrixToConnectionList
Flights delay dataflights
Parameter fitting for Huesler-Reiss graphical modelsfmpareto_graph_HR
Parameter fitting for multivariate Huesler-Reiss Pareto distributionfmpareto_HR_MLE
Convert matrix to graphGamma2graph partialMatrixToGraph Sigma2graph Theta2graph
Conversion between Huesler-Reiss parameter matricesGamma2Gamma Gamma2Sigma Gamma2Theta matrix2matrix Sigma2Gamma Sigma2Sigma Sigma2Theta Theta2Gamma Theta2Sigma Theta2Theta
Generate random graphsgenerate_random_cactus generate_random_chordal_graph generate_random_connected_graph generate_random_tree
Generate a random Gamma matrixgenerate_random_Gamma
Generate a random Gamma matrix for a given graphgenerate_random_graphical_Gamma
Generate a random Gamma matrix containing only integersgenerate_random_integer_Gamma
Generate random Huesler-Reiss Modelsgenerate_random_model
Generate a random symmetric positive definite matrixgenerate_random_spd_matrix
Get alert functionget_alert_function
Number of cores to be used in parallel computationsget_mc_cores
Tolerances to be used in computationsget_large_tol get_small_tol
Get Danube flow graphgetDanubeFlowGraph
Get filtered flight delaysgetFlightDelayData
Get flight graphgetFlightGraph
Compute Huesler-Reiss log-likelihood, AIC, and BICloglik_HR
Plot Danube River Flow DataplotDanube plotDanubeIGraph
Plot flight dataplotFlights
Sampling of a multivariate Pareto distributionrmpareto
Sampling of a multivariate Pareto distribution on a treermpareto_tree
Sampling of a multivariate max-stable distributionrmstable
Sampling of a multivariate max-stable distribution on a treermstable_tree