revdbayes

Provides functions for the Bayesian analysis of extreme value models. The 'rust' package is used to simulate a random sample from the required posterior distribution. The functionality of 'revdbayes' is similar to the 'evdbayes' package , which uses Markov Chain Monte Carlo ('MCMC') methods for posterior simulation. In addition, there are functions for making inferences about the extremal index, using the models for threshold inter-exceedance times of Suveges and Davison (2010) doi:10.1214/09-AOAS292 and Holesovsky and Fusek (2020) doi:10.1007/s10687-020-00374-3. Also provided are d,p,q,r functions for the Generalised Extreme Value ('GEV') and Generalised Pareto ('GP') distributions that deal appropriately with cases where the shape parameter is very close to zero.