mev 1.17 (Release date 2024-07-09)

Fixes:

• gpd.ll and gpd.nll correctly return a non-NA value when xi=-1 (#18, reported by Paddy O'Toole)
• tstab.gpd now correctly works when input leads to boundary values, and profile likelihood intervals are now correctly truncated in the range of admissible values
• fit.gpd now relies on gpd.ll to return the negative log likelihood value nllh
• Threshold stability plots now compute limits of plot safely, handling missing values in parameter estimates. Intervals are truncated to admissible values
• For multivariate censored likelihood, marginal thresholds equal to the functional threshold (default option) doesn't return an error.

mev 1.16 (Release date 2023-11-30)

New:

• Pickand's U-statistic estimator of the shape
• New datasets: Newlyn wave height, pandemics, nutrients

Fixes:

• gp.tstab optimization bounds for profile confidence interval fixed.
• rparp failed when a single draw was accepted (due to matrix being cast to vectors)
• fit.extgp now handles model 0 (generalized Pareto), fixing #17

New:

• gev and gp distribution functions (d/p/q/r) introduced to remove dependency on evd package.
• Ramos and Ledford score test of independence

Fixes:

• taildep function now correctly check choice of estimators against list of methods
• Fix argument size in likmgp and clikmgp for the logistic model
• Correctly return a covariance matrix with NAs when the matrix is singular or xi=-1

Changes:

• taildep arguments leads to faster calculations with betacop option.
• Replace nloptr dependency by Rsolnp

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New:

• bivariate coefficient of extremal asymmetry
• four new families of max-stable models (pairwise beta, pairwise exponential, weighted Dirichlet and weighted exponential) for rmev, following Ballani and Schlather (2011)
• maximum likelihood estimation routines (fit.gpd, fit.gev, etc.) now accept fixed parameters
• mean residual life plots with weighted least square fit
• coefficient of variation tests for threshold selection
• Varty et al. metric based threshold selection diagnostic
• anova methods for mev_gpd and mev_gev objects
• rmev and rmevspec now accept a distance matrix in place of coordinates for spatial models.
• new datasets
• website with vignettes

Changes

• Functions W.diag and NC.diag now have S3 plot and print methods
• Changes to arguments (backward compatible) to xdat throughout
• Many dependencies used by single functions are now listed in Suggest.

Fixes:

• ext.coef correctly handles arrays with missing values (reported by M. Jousset)
• Optimization method in fit.gev now uses the PWM solution of Hosking (1985) as starting value
• gev.pll now returns confidence intervals for param = "quant" (reported by D. Dupuis)
• Fixes to NHPP order statistics density (returns -Inf outside of domain, also correctly evaluate for boundary case when xi=-1)
• Optimization routines fit.pp, fit.gev and fit.rlarg now return correct MLE when solution lies on boundary (xi=-1) and are more robust to failure (gradients for nlminb return large values rather than NAs which caused the algorithm to stop).
• Grimshaw's algorithm sometimes returned incorrect value because of too low tolerance for eta near zero. Set back to default settings.
• fit.gpd(..., method = "obre") now returns additional failure messages if the algorithm drifts towards infeasible values.
• rparp now correctly handles xi=0
• Extended GP model now has 'step' for discretization, and a valid distribution function that returns real arguments whenever the input is finite (#9)
• W.diag and egp.fitrange include arguments for changing 'par' (#10)
• smith.penult now computes reciprocal hazard and it's derivative on the log scale (when possible) to avoid numerical overflow.