ExtremalDep

A set of procedures for parametric and non-parametric modelling of the dependence structure of multivariate extreme-values is provided. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and Bayesian techniques. It adapts the methodologies of Beranger and Padoan (2015) doi:10.48550/arXiv.1508.05561, Marcon et al. (2016) doi:10.1214/16-EJS1162, Marcon et al. (2017) doi:10.1002/sta4.145, Marcon et al. (2017) doi:10.1016/j.jspi.2016.10.004 and Beranger et al. (2021) doi:10.1007/s10687-019-00364-0. This package also allows for the modelling of spatial extremes using flexible max-stable processes. It provides simulation algorithms and fitting procedures relying on the Stephenson-Tawn likelihood as per Beranger at al. (2021) doi:10.1007/s10687-020-00376-1.

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