Multivariate generalized Pareto distributions
This package is under development: it is not ready for use and will be merged in mev in due time.
R-package to fit multivariate generalized Pareto processes, including functions to calculate the (un)censored likelihood of the process, conditional Gaussian densities, spatial dependence models and a pseudo-marginal algorithm to simulate from the posterior. Some routines for latent Gaussian modelling of generalized Pareto are included.
The package currently lacks examples and references.
To install from Github, use
devtools::install_github("lbelzile/TruncatedNormal")
devtools::install_github("lbelzile/mev")
devtools::install_github("lbelzile/mgp")after installing devtools.