Package: revdbayes 1.5.7

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.

Authors:Paul J. Northrop [aut, cre, cph], Scott D. Grimshaw [ctb]

revdbayes_1.5.7.tar.gz
revdbayes_1.5.7.zip(r-4.7)revdbayes_1.5.7.zip(r-4.6)revdbayes_1.5.7.zip(r-4.5)
revdbayes_1.5.7.tgz(r-4.6-x86_64)revdbayes_1.5.7.tgz(r-4.6-arm64)revdbayes_1.5.7.tgz(r-4.5-x86_64)revdbayes_1.5.7.tgz(r-4.5-arm64)
revdbayes_1.5.7.tar.gz(r-4.7-arm64)revdbayes_1.5.7.tar.gz(r-4.7-x86_64)revdbayes_1.5.7.tar.gz(r-4.6-arm64)revdbayes_1.5.7.tar.gz(r-4.6-x86_64)
revdbayes_1.5.7.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
revdbayes/json (API)

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

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

Pkgdown/docs site:https://paulnorthrop.github.io

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • gom - Storm peak significant wave heights from the Gulf of Mexico
  • newlyn - Newlyn sea surges
  • oxford - Annual Maximum Temperatures at Oxford
  • portpirie - Annual Maximum Sea Levels at Port Pirie, South Australia
  • rainfall - Daily Aggregate Rainfall
  • venice - Largest Sea Levels in Venice

On CRAN:

Conda:

analysisbayesianextremeextreme-value-statisticsextremesgeneralized-pareto-distributiongevinferencenhpppoint-processposteriorpredictivercppvalueopenblascpp

8.10 score 5 stars 5 packages 69 scripts 4.1k downloads 39 exports 47 dependencies

Last updated from:5cd0153eb3. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK222
linux-devel-x86_64OK232
source / vignettesOK365
linux-release-arm64OK221
linux-release-x86_64OK234
macos-release-arm64OK118
macos-release-x86_64OK299
macos-oldrel-arm64OK155
macos-oldrel-x86_64OK252
windows-develOK173
windows-releaseOK166
windows-oldrelOK196
wasm-releaseOK203

Exports:binpostcreate_prior_xptrdgaps_postdgevdgpgev_betagev_flatgev_flatflatgev_loglognormgev_mdigev_normgev_probgev_quantgp_betagp_flatgp_flatflatgp_jeffreysgp_lrsgp_mdigp_normgp_pwmgrimshaw_gp_mlekgaps_postpgevpgppp_checkqgevqgpquantile_to_gevrDirrgevrgprpostrpost_rcpprprior_probrprior_quantset_bin_priorset_priorwbinpost

Dependencies:abindbackportsbayesplotchandwichcheckmateclicpp11distributionaldplyrexdexfarvergenericsggplot2ggridgesgluegtableisobandlabelinglifecyclemagrittrmatrixStatsnumDerivpillarpkgconfigplyrposteriorpurrrR6RColorBrewerRcppRcppArmadilloRcppRollreshape2rlangrustS7scalesstringistringrtensorAtibbletidyrtidyselectutf8vctrsviridisLitewithr

Faster simulation using revdbayes
Performance comparisons | Generalised Pareto (GP) model | Generalised Extreme Value (GEV) model | Point Process (PP) model | Providing a user-defined prior | References
Rendered fromrevdbayes-b-using-rcpp-vignette.Rmdusingknitr::rmarkdown

Last update: 2026-03-24
Started: 2019-03-08

Introducing revdbayes: Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis
The revdbayes package | The ratio-of-uniforms method | Generalised Pareto (GP) model | Gulf of Mexico Wave Height Data | Generalised Extreme Value (GEV) model | Port Pirie Sea Level Data | Oxford Temperature Data | Point Process (PP) model | Rainfall Data | $r$-largest Order Statistics (OS) model | Venice Sea Level Data | References
Rendered fromrevdbayes-a-vignette.Rmdusingknitr::rmarkdown

Last update: 2022-11-11
Started: 2019-03-08

Posterior Predictive Extreme Value Inference using the revdbayes Package
Posterior predictive model checking | Overlaid density and distribution functions | Multiple plots | Posterior predictive test statistics | Posterior predictive extreme value inference | Posterior predictive density and distribution functions | Posterior predictive intervals | References
Rendered fromrevdbayes-c-predictive-vignette.Rmdusingknitr::rmarkdown

Last update: 2022-05-09
Started: 2019-03-08

Inference for the extremal index using threshold interexceedance times
$K$-gaps and $D$-gaps models | Bayesian Inference | References
Rendered fromrevdbayes-d-kgaps-vignette.Rmdusingknitr::rmarkdown

Last update: 2022-05-07
Started: 2019-03-08

Readme and manuals

Help Manual

Help pageTopics
revdbayes: Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysisrevdbayes-package revdbayes
Random sampling from a binomial posterior distributionbinpost
Create an external pointer to a C++ priorcreate_prior_xptr
Random sampling from D-gaps posterior distributiondgaps_post
The Generalised Extreme Value Distributiondgev gev pgev qgev rgev
Beta-type prior for GEV shape parameter xigev_beta
Flat prior for GEV parameters (mu, log sigma, xi)gev_flat
Flat prior for GEV parameters (mu, sigma, xi)gev_flatflat
Trivariate normal prior for GEV parameters (log mu, log sigma, xi)gev_loglognorm
Maximal data information (MDI) prior for GEV parameters (mu, sigma, xi)gev_mdi
Trivariate normal prior for GEV parameters (mu, log sigma, xi)gev_norm
Informative GEV prior on a probability scalegev_prob
Informative GEV prior on a quantile scalegev_quant
Storm peak significant wave heights from the Gulf of Mexicogom
The Generalised Pareto Distributiondgp gp pgp qgp rgp
Beta-type prior for GP shape parameter xigp_beta
Flat prior for GP parameters (log sigma, xi)gp_flat
Flat prior for GP parameters (sigma, xi)gp_flatflat
Jeffreys prior for GP parameters (sigma, xi)gp_jeffreys
Linear Combinations of Ratios of Spacings estimation of generalised Pareto parametersgp_lrs
Maximal data information (MDI) prior for GP parameters (sigma, xi)gp_mdi
Bivariate normal prior for GP parameters (log sigma, xi)gp_norm
Probability-weighted moments estimation of generalised Pareto parametersgp_pwm
Maximum likelihood estimation of generalised Pareto parametersgrimshaw_gp_mle
Random sampling from K-gaps posterior distributionkgaps_post
Newlyn sea surgesnewlyn
Annual Maximum Temperatures at Oxfordoxford
Plot diagnostics for an evpost objectplot.evpost
Plot diagnostics for an evpred objectplot.evpred
Annual Maximum Sea Levels at Port Pirie, South Australiaportpirie
Posterior predictive checks for an evpost objectpp_check pp_check.evpost
Predictive inference for the largest value observed in N years.predict.evpost
Print method for objects of class "evpost"print.evpost
Print method for objects of class "summary.evpost"print.summary.evpost
Converts quantiles to GEV parametersquantile_to_gev
Daily Aggregate Rainfallrainfall
Simulation from a Dirichlet distributionrDir
Random sampling from extreme value posterior distributionsrpost
Random sampling from extreme value posterior distributionsrpost_rcpp
Prior simulation of GEV parameters - prior on probability scalerprior_prob
Prior simulation of GEV parameters - prior on quantile scalerprior_quant
Construction of a prior distribution for a binomial probability pset_bin_prior
Construction of prior distributions for extreme value model parametersset_prior
Summarizing an evpost objectsummary.evpost
Largest Sea Levels in Venicevenice
Random sampling from a binomial posterior distribution, using weightswbinpost