I am the author of the R package ExtremalDep with Dr. Simone Padoan and Dr. Giulia Marcon.
The aim of the package is to provide tools to model parametrically and non-parametrically the dependence structure amongst multivariate and spatial extremes. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and Bayesian techniques.
The methodologies of the following papers are included:
- Beranger, B, Padoan, S.A. and Sisson, S.A. (2019), Estimation and uncertainty quantification for extreme quantile regions.
- Beranger, B, Padoan, S.A. and Sisson, S.A. (2017), Models for Extremal Dependence Derived from Skew‐symmetric Families.
- Beranger, B. and Padoan, S.A. (2015), Extreme Dependence Models.
- Marcon, G., Naveau, P. and Padoan, S.A. (2017) A semi‐parametric stochastic generator for bivariate extreme events.
- Marcon, G., Padoan, S.A., Naveau, P., Muliere, P. and Segers, J. (2017) Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials.
- Marcon, G., Padoan, S.A. and Antoniano-Villalobos, I. (2016) Bayesian inference for the extremal dependence.
The package is available on CRAN.