maxstablePCA: Apply a PCA Like Procedure Suited for Multivariate Extreme Value Distributions

Dimension reduction for multivariate data of extreme events with a PCA like procedure as described in Reinbott, Janßen, (2024), <doi:10.48550/arXiv.2408.10650>. Tools for necessary transformations of the data are provided.

Version: 0.1.2
Depends: R (≥ 3.5.0)
Imports: nloptr
Suggests: testthat, evd, mev
Published: 2025-06-16
Author: Felix Reinbott [aut, cre]
Maintainer: Felix Reinbott <felix.reinbott at ovgu.de>
License: MIT + file LICENSE
NeedsCompilation: yes
Materials: README
CRAN checks: maxstablePCA results

Documentation:

Reference manual: maxstablePCA.pdf

Downloads:

Package source: maxstablePCA_0.1.2.tar.gz
Windows binaries: r-devel: maxstablePCA_0.1.1.zip, r-release: maxstablePCA_0.1.1.zip, r-oldrel: maxstablePCA_0.1.1.zip
macOS binaries: r-release (arm64): maxstablePCA_0.1.1.tgz, r-oldrel (arm64): maxstablePCA_0.1.1.tgz, r-release (x86_64): maxstablePCA_0.1.1.tgz, r-oldrel (x86_64): maxstablePCA_0.1.1.tgz
Old sources: maxstablePCA archive

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