Extreme Value Trawls

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Documentation for package ‘ev.trawl’ version 0.1.0

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CollectionTrawl Creates a list of trawl functions given a type of trawl and a vector of times as peak times. Has the option to get primitives. Note that only exponential trawl are implemented so far.
ComputeAExp Wrapper to compute total area under exponential trawl function.
ComputeB1Exp Wrapper to compute difference area between 't2' and 't1' under exponential trawl function.
ComputeB3Exp Wrapper to compute difference area between 't1' and 't2' under exponential trawl function.
ComputeBInterExp Wrapper to compute intersection area between 't1' and 't2' under exponential trawl function.
DiffVal Centered differentiation calculation.
dlgpd Computes the probability density function of Generalised Pareto Distribution at x, with shape parameter alpha and scale parameter beta.
EvaluateF Evalutae function at given parameters.
FullPL Computes latent trawl FULL pairwise likelihood depending with exponential trawl function.
GammaBox Sample Gamma with small shape parameter 'alpha*dx*dy'.
GammaSqBox Wrapper for GammaBox using a square to multiply the shape parameter.
GenerateParameters Computes initial guess for Univariate Latent-Trawl model. Uses 'fExtreme' package method 'gpdFit' to fit MLE.
GetEstimateRho Computes first-order estimate for 'rho'.
GPDFit Generalised Pareto likelihood maximisation using L-BFGS-B optimisation routine.
GradF Computes gradident of a function given parameters and offset value epsilon.
HessianF Computes Hessian matrix of a $C^2$ function given parameters and offset value epsilon
hourly_bloomsbury_air_pollution_2000_2017 Hourly measurements of 6 air pollutant concentrations in Bloomsbury, London, UK.
MarginalGPDLikelihood Computes Generalised Pareto (log-)likelihood on non-zero exceedances under independence.
MarginalSimpleLik Simplified marginal (GPD) log-likelihood function under independence in the exponential trawl case.
MoMGPD Method of moments (MoM) on a one or multiple exceedance timeseries for the latent trawl model using marginal GPD properties and probability of exceedance.
PairwiseOneOne Computes latent trawl pairwise likelihood with '(x,x)' where 'x' and 'y' positive with exponential trawl function.
PairwiseOneOne1 Computes first term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive.
PairwiseOneOne11 Computes frst part of first term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive.
PairwiseOneOne12 Computes second part of first term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive.
PairwiseOneOne13 Computes third part of first term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive.
PairwiseOneOne2 Computes second term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive.
PairwiseOneOne21 Computes second term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive.
PairwiseOneOne22 Computes second term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive.
PairwiseOneOne23 Computes second term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive.
PairwiseOneOne24 Computes second term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive.
PairwiseOneZero Computes term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive with exponential trawl function.
PairwiseOneZero1 Computes first part of latent trawl pairwise likelihood with '(x,0)' where 'x' positive.
PairwiseOneZero2 Computes second term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive.
PairwiseOneZero21 Computes partial part of second term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive.
PairwiseOneZero22 Computes partial part of second term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive.
PairwiseOneZero23 Computes partial part of second term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive.
PairwiseOneZero24 Computes partial part of second term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive.
PairwiseZeroZero Computes latent trawl pairwise likelihood with '(x,y) = (0,0)' for Exponential Trawl funciton.
PairwiseZeroZero1 Computes partial part of latent trawl pairwise likelihood with '(x,y) = (0,0)'.
PairwiseZeroZero2 Computes second part of latent trawl pairwise likelihood with '(x,y) = (0,0)'.
ParamsListFullPL Wrapper for FullPL using a list for parameters in the exponential trawl case.
plgpd Computes the cumulative distribution function of Generalised Pareto Distribution at x, with shape parameter alpha and scale parameter beta.
rlexceed Simulation of extreme value path using latent trawl process. Transformed marginals have scale parameter '1+kappa'.
rtrawl Simulation of trawl process path using Slice partition. If using customised trawl functions and primitives (i.e. 'trawl.function = NA'), then, it is required that the user provides 'length(times) + deep_cols' such functions and primitives where the 'deep_cols' first one are used to reconstuct the first trawl value.
SecondOrderDiffVal Second-order centered differentiation calculation.
SecondOrderMixedDiffVal Second-order bivariate differentiation calculation.
SinglePairPL Computes correct latent trawl SINGLE pairwise likelihood depending on the values of '(x1,x2)' with exponential trawl function.
SliceArea Computes the area of a slice for the Slice Partition method of trawl functions.
TrawlExp Returns an exponential trawl function with base time t.
TrawlExpPrimitive Returns a primitive of exponential trawl function with base time t. Such primitive has its zero at 'zero_at'.
TrawlSliceReconstruct Performs trawl slices reconstuction to get gamma samples using the independent measure scaterring.
TrfFindOffsetScale Computes predefined transformed scale parameter.
TrfG Computes g from the marginal transform method (vectorised version). That is from GPD(alpha, beta+kappa) to GPD(offset_shape, offset_scale).
TrfInverseG Computes inverse of g from the marginal transform method (vectorised version). That is from GPD(offset_shape, offset_scale) to GPD(alpha, beta+kappa).
TrfJacobian Computes determinant of Jacobian of Marginal Transform (MT) method.
UnivariateFullPL Computes univariate latent trawl FULL pairwise likelihood depending with exponential trawl function with the option to fix some parameter values.
Zeta Zeta function from auto-correlation expansion for small lags.