Package: lax 1.2.3

lax: Loglikelihood Adjustment for Extreme Value Models

Performs adjusted inferences based on model objects fitted, using maximum likelihood estimation, by the extreme value analysis packages 'eva' <https://cran.r-project.org/package=eva>, 'evd' <https://cran.r-project.org/package=evd>, 'evir' <https://cran.r-project.org/package=evir>, 'extRemes' <https://cran.r-project.org/package=extRemes>, 'fExtremes' <https://cran.r-project.org/package=fExtremes>, 'ismev' <https://cran.r-project.org/package=ismev>, 'mev' <https://cran.r-project.org/package=mev>, 'POT' <https://cran.r-project.org/package=POT> and 'texmex' <https://cran.r-project.org/package=texmex>. Adjusted standard errors and an adjusted loglikelihood are provided, using the 'chandwich' package <https://cran.r-project.org/package=chandwich> and the object-oriented features of the 'sandwich' package <https://cran.r-project.org/package=sandwich>. The adjustment is based on a robust sandwich estimator of the parameter covariance matrix, based on the methodology in Chandler and Bate (2007) <doi:10.1093/biomet/asm015>. This can be used for cluster correlated data when interest lies in the parameters of the marginal distributions, or for performing inferences that are robust to certain types of model misspecification. Univariate extreme value models, including regression models, are supported.

Authors:Paul J. Northrop [aut, cre, cph], Camellia Yin [aut, cph]

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Bug tracker:https://github.com/paulnorthrop/lax/issues

On CRAN:

clustered-dataclusterscomposite-likelihoodevdextreme-value-analysisextreme-value-statisticsextremesindependence-loglikelihoodloglikelihood-adjustmentmlepotregressionregression-modellingrobustsandwichsandwich-estimator

9 exports 3 stars 1.27 score 54 dependencies 13 scripts 364 downloads

Last updated 7 months agofrom:19ce998fd4. Checks:OK: 7. Indexed: yes.

Exports:alogLikfit_bernoulligev_refitgpd_refitlogLikVecpot_refitpp_refitreturn_levelrlarg_refit

Dependencies:abindbackportsbayesplotchandwichcheckmateclicolorspacedistributionaldplyrexdexfansifarvergenericsggplot2ggridgesgluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmatrixStatsmgcvmunsellnlmenumDerivpillarpkgconfigplyrposteriorR6RColorBrewerRcppRcppArmadilloRcppRollreshape2revdbayesrlangrustsandwichscalesstringistringrtensorAtibbletidyselectutf8vctrsviridisLitewithrzoo