revdbayes: Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis

Provides functions for the Bayesian analysis of extreme value models. The 'rust' package <> is used to simulate a random sample from the required posterior distribution. The functionality of 'revdbayes' is similar to the 'evdbayes' package <>, which uses Markov Chain Monte Carlo ('MCMC') methods for posterior simulation. In addition, there are functions for making inferences about the extremal index, using the models for threshold inter-exceedance times of Suveges and Davison (2010) <doi:10.1214/09-AOAS292> and Holesovsky and Fusek (2020) <doi:10.1007/s10687-020-00374-3>. Also provided are d,p,q,r functions for the Generalised Extreme Value ('GEV') and Generalised Pareto ('GP') distributions that deal appropriately with cases where the shape parameter is very close to zero.

Version: 1.5.4
Depends: R (≥ 3.3.0)
Imports: bayesplot (≥ 1.1.0), exdex, graphics, Rcpp, rust (≥ 1.2.2), stats, utils
LinkingTo: Rcpp (≥ 0.12.10), RcppArmadillo
Suggests: ggplot2 (≥ 2.2.1), knitr, microbenchmark, rmarkdown, testthat
Published: 2024-07-17
DOI: 10.32614/CRAN.package.revdbayes
Author: Paul J. Northrop [aut, cre, cph], Scott D. Grimshaw [ctb]
Maintainer: Paul J. Northrop <p.northrop at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README NEWS
In views: Bayesian, Distributions, ExtremeValue
CRAN checks: revdbayes results [issues need fixing before 2024-08-19]


Reference manual: revdbayes.pdf
Vignettes: Introducing revdbayes: Ratio-of-Uniforms Sampling for Bayesian Extreme Value Analysis
Faster simulation using revdbayes
Posterior Predictive Extreme Value Inference using the revdbayes Package
Inference for the extremal index using threshold interexceedance times


Package source: revdbayes_1.5.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): revdbayes_1.5.4.tgz, r-oldrel (arm64): revdbayes_1.5.4.tgz, r-release (x86_64): revdbayes_1.5.3.tgz, r-oldrel (x86_64): revdbayes_1.5.3.tgz
Old sources: revdbayes archive

Reverse dependencies:

Reverse imports: lax, lite, threshr
Reverse suggests: distributions3, exdex, fitteR, mev, rust, smovie


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