Extreme value modelling with R. Includes univariate modelling using generalized Pareto, generalized extreme value, Weibull and Gumbel distributions, and the multivariate conditional approach of Heffernan and Tawn.
The package contains a test suite that depends on the testthat package. To use the test suite, install using 'R CMD INSTALL --install-tests' and then running 'devtools::test("texmex")' within R, where "texmex" points to the package location.
This work was partially funded by AstraZeneca.