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lite  

Likelihood-Based Inference for Time Series Extremes
View on CRAN: Click here


Download and install lite package within the R console
Install from CRAN:
install.packages("lite")

Install from Github:
library("remotes")
install_github("cran/lite")

Install by package version:
library("remotes")
install_version("lite", "1.1.1")



Attach the package and use:
library("lite")
Maintained by
Paul J. Northrop
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-04-08
Latest Update: 2024-07-17
Description:
Performs likelihood-based inference for stationary time series extremes. The general approach follows Fawcett and Walshaw (2012) . Marginal extreme value inferences are adjusted for cluster dependence in the data using the methodology in Chandler and Bate (2007) , producing an adjusted log-likelihood for the model parameters. A log-likelihood for the extremal index is produced using the K-gaps model of Suveges and Davison (2010) . These log-likelihoods are combined to make inferences about extreme values. Both maximum likelihood and Bayesian approaches are available.
How to cite:
Paul J. Northrop (2022). lite: Likelihood-Based Inference for Time Series Extremes. R package version 1.1.1, https://cran.r-project.org/web/packages/lite. Accessed 25 Jun. 2026.
Previous versions and publish date:
1.0.0 (2022-04-08 10:32), 1.1.0 (2023-01-27 01:30)
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