Check out https://github.com/sede-x/covXtreme
A simple model for non-stationary multivariate extremes
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pGevNonStt
pGevNonStt PublicSimple non-stationary extremes, parameters linear in covariate, MCMC inference
MATLAB
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pGevStt
pGevStt PublicSimple stationary extremes, parameters stationary with respect to covariate, MCMC inference
MATLAB
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pGpStt
pGpStt PublicSimple stationary extremes, parameters fixed with respect to covariate, MCMC inference (peaks over threshold)
MATLAB
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