The texmex package for R

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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.