ExtremalDep: Modelling extremal dependence in high-dimensional extremes

From environmental sciences to finance, there are growing needs for assessing the risk of more extreme events than those observed. Extrapolating extreme events beyond the range of the data is not obvious and requires advanced tools based on extreme value theory. Furthermore, the complexity of risk assessments often requires the inclusion of multiple variables. Extreme value theory provides very important tools for the analysis of multivariate or spatial extreme events, but these are not easily accessible to professionals without appropriate expertise. This article provides a minimal background on multivariate and spatial extremes and gives simple yet thorough instructions to analyse high-dimensional extremes using the R package ExtremalDep. After briefly introducing the statistical methodologies, we focus on road testing the package’s toolbox through several real-world applications.