R build status

maxstablePCA

A package for dimensionality reduction of multivariate extremes using the idea of PCA to obtain a resonable compact description of the data.

Main functionalities

Examples on simulated and real world data

For a better feeling of what this algorithm does, please consider looking at the following repo, providing example data analyses and simulation studies https://github.com/FelixRb96/maxstablePCA_examples.

References