graphicalExtremes: Statistical Methodology for Graphical Extreme Value Models

Statistical methodology for sparse multivariate extreme value models. Methods are provided for exact simulation and statistical inference for multivariate Pareto distributions on graphical structures as described in the paper 'Graphical Models for Extremes' by Engelke and Hitz (2020) <doi:10.1111/rssb.12355>.

Version: 0.3.2
Depends: R (≥ 3.6.0)
Imports: igraph (≥, mvtnorm (≥ 1.0.10), Rdpack, stats (≥ 3.6.0), utils, corpcor, osqp, glmnet, glassoFast, edmcr, CVXR
Suggests: testthat (≥ 2.1.0), knitr, rmarkdown, dplyr, ggplot2, bookdown, maps
Published: 2024-04-18
DOI: 10.32614/CRAN.package.graphicalExtremes
Author: Sebastian Engelke [aut, cre], Adrien S. Hitz [aut], Nicola Gnecco [aut], Manuel Hentschel [aut]
Maintainer: Sebastian Engelke <sebastian.engelke at>
License: GPL-3
NeedsCompilation: no
In views: ExtremeValue
CRAN checks: graphicalExtremes results


Reference manual: graphicalExtremes.pdf
Vignettes: Introduction and application to Danube data
Application to flight data


Package source: graphicalExtremes_0.3.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): graphicalExtremes_0.3.2.tgz, r-oldrel (arm64): graphicalExtremes_0.3.2.tgz, r-release (x86_64): graphicalExtremes_0.3.2.tgz, r-oldrel (x86_64): graphicalExtremes_0.3.2.tgz
Old sources: graphicalExtremes archive

Reverse dependencies:

Reverse depends: satdad


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