mev

Multivariate Extreme Value distributions

R-package to perform simulations from multivariate extreme value models. The package also includes some routine functions for univariate analysis, notably threshold selection diagnostics, optimization, bias-correction and tangent exponential model approximations, non-parametric spectral measure estimation using empirical likelihood methods, etc.

To install from Github, use

devtools::install_github("lbelzile/mev")

after installing devtools.

Notes from the tutorial given at EVA 2019 can be obtained from lbelzile.github.io/mevtuto