R/revdbayes-package.R
revdbayes-package.RdUses the multivariate generalized ratio-of-uniforms method to simulate random samples from the posterior distributions commonly encountered in Bayesian extreme value analyses.
The main functions in the revdbayes package are rpost
and rpost_rcpp, which simulate random samples from the
posterior distribution of extreme value model parameters using the
functions ru and ru_rcpp
from the rust package, respectively. The user chooses the extreme value
model, the prior density for the parameters and provides the data.
There are options to improve the probability of acceptance of the
ratio-of-uniforms algorithm by working with transformation of the model
parameters.
The functions kgaps_post and dgaps_post
simulate from the posterior distribution of the extremal index
\(\theta\) based on the K-gaps model for threshold interexceedance
times of Suveges and Davison (2010) and the similar D-gaps model of
Holesovsky and Fusek (2020). See also Attalides (2015).
See vignette("revdbayes-a-vignette", package = "revdbayes") for an
overview of the package and
vignette("revdbayes-b-using-rcpp-vignette", package = "revdbayes")
for an illustration of the improvements in efficiency produced using
the Rcpp package.
See
vignette("revdbayes-c-predictive-vignette", package = "revdbayes")
for an outline of how to use revdbayes to perform posterior predictive
extreme value inference and
vignette("revdbayes-d-kgaps-vignette", package = "revdbayes")
considers Bayesian inference for the extremal index \(\theta\)
using threshold inter-exceedance times.
Holesovsky, J. and Fusek, M. Estimation of the extremal index using censored distributions. Extremes 23, 197-213 (2020). doi:10.1007/s10687-020-00374-3
Northrop, P. J. (2016). rust: Ratio-of-Uniforms Simulation with Transformation. R package version 1.2.2. https://cran.r-project.org/package=rust.
Suveges, M. and Davison, A. C. (2010) Model misspecification in peaks over threshold analysis, The Annals of Applied Statistics, 4(1), 203-221. doi:10.1214/09-AOAS292
Attalides, N. (2015) Threshold-based extreme value modelling, PhD thesis, University College London. https://discovery.ucl.ac.uk/1471121/1/Nicolas_Attalides_Thesis.pdf
set_prior to set a prior density for extreme value
parameters.
rpost and rpost_rcpp to perform
ratio-of-uniforms sampling from an extreme value posterior distribution.
kgaps_post and dgaps_post to sample
from a posterior distribution for the extremal index based on
inter-exceedance times.
The ru and ru_rcpp
functions in the rust package for details of the arguments
that can be passed to ru via rpost and for the form of the
object (of class "evpost") returned from rpost, which has the same
structure as an object (of class "ru") returned by ru and
ru_rcpp.