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lbelzile/README.md

Welcome to the Github webpage of Léo Belzile

I am an associate professor of statistics in the Department of Decision Sciences at HEC Montréal. Visit my webpage for my curriculum vitae. I am best reached by email.

R packages

The repositories on Github contain code for the R packages that I authored or maintain, including

  • mev - Modelling Extreme Values
  • TruncatedNormal - Truncated Multivariate Normal and Student Distributions
  • lcopula - Liouville Copulas
  • mig - Multivariate Inverse Gaussian Distribution
  • longevity - Statistical Methods for the Analysis of Excess Lifetimes
  • threshold - Threshold Selection Methods (✨under active development)
  • mvPot - Multivariate Peaks-over-Threshold Modelling for Spatial Extreme Events

or of which I am the current maintainer on the CRAN

  • BMAmevt - Bayesian Model Averaging for Multivariate Extremes
  • evt0 - Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates
  • VaRES - Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions
  • jointPm - Risk Estimation Using the Joint Probability Method
  • hkevp - Spatial Extreme Value Analysis with the Hierarchical Model of Reich and Shaby (2012)

Code for my papers

Published

  1. Olli Saarela, Léo Belzile and David A. Stephens (2016). A Bayesian view of doubly robust causal inference, Biometrika, 103(3): pp. 667–681. DOI:10.1093/biomet/asw025. Code
  2. Léo Belzile and Johanna G. Nešlehová (2017) Extremal attractors of Liouville copulas, Journal of Multivariate Analysis, 160C, pp. 68–92. DOI:10.1016/j.jmva.2017.05.008. Code
  3. Léo R. Belzile, Anthony C. Davison, Holger Rootzén and Dmitrii Zholud (2021). Human mortality at extreme age., Royal Society Open Science, 8: 202097, DOI:10.1098/rsos.202097. Code
  4. Léo R. Belzile, Anthony C. Davison, Jutta Gampe, Holger Rootzén and Dmitrii Zholud (2022). Is there a cap on longevity? A statistical review., Annual Reviews of Statistics and its Application, (9), 18, pp. 1–25. DOI:10.1146/annurev-statistics-040120-025426. Code
  5. Léo R. Belzile and Anthony C. Davison (2022). Improved inference for risk measures of univariate extremes, Annals of Applied Statistics, 16(3), pp. 1524–1549. DOI: 10.1214/21-AOAS1555. Code
  6. Léo R. Belzile, Christophe Dutang, Paul Northrop and Thomas Opitz (2023). A modeler's guide to extreme value software. Extremes, 26, pp. 595–638. DOI:10.1007/s10687-023-00475-9. Code.

Preprints

  1. Léo R. Belzile, Arnab Hazra, Rishikesh Yadav. An utopic adventure in the modelling of conditional univariate and multivariate extremes. Code
  2. Léo R. Belzile, Alain Desgagné, Christian Genest and Frédéric Ouimet (2024). Normal approximations for the multivariate inverse Gaussian distribution and asymmetric kernel smoothing on d-dimensional half-spaces. Code.

Course webpages

Course notes

R packages for course material

Pinned Loading

  1. mev mev Public

    Modelling extreme values

    R 12 4

  2. TruncatedNormal TruncatedNormal Public

    Simulation from truncated Gaussian and Student vectors, high dimensional CDF via exponential tilting

    R 8 4

  3. Extremes-software-review Extremes-software-review Public

    Code and supplementary material for the paper "A modeler’s guide to extreme value software"

    R 1

  4. EVA2023-data-challenge EVA2023-data-challenge Public

    Team Yahabe contribution to the Extreme Value Analysis 2023 data challenge

    R

  5. longevity longevity Public

    Statistical methods for the analysis of excess lifetimes

    R 1

  6. threshold threshold Public

    Threshold selection methods for extreme value analysis

    R