ExtremalDep - Extremal Dependence Models
A set of procedures for parametric and non-parametric
modelling of the dependence structure of multivariate
extreme-values is provided. The statistical inference is
performed with non-parametric estimators, likelihood-based
estimators and Bayesian techniques. It adapts the methodologies
of Beranger and Padoan (2015) <doi:10.48550/arXiv.1508.05561>,
Marcon et al. (2016) <doi:10.1214/16-EJS1162>, Marcon et al.
(2017) <doi:10.1002/sta4.145>, Marcon et al. (2017)
<doi:10.1016/j.jspi.2016.10.004> and Beranger et al. (2021)
<doi:10.1007/s10687-019-00364-0>. This package also allows for
the modelling of spatial extremes using flexible max-stable
processes. It provides simulation algorithms and fitting
procedures relying on the Stephenson-Tawn likelihood as per
Beranger at al. (2021) <doi:10.1007/s10687-020-00376-1>.