R Package ExtremalDep

R Package ExtremalDep

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:

The package is available on CRAN.