Transforms to exponential margins under the GEV model.
mtransform(x, p, inv = FALSE, drp = FALSE)
A numeric matrix or vector.
A matrix with n rows and d columns, or a vector. In
the latter case, if p
is a list with the same length
as the vector, it is treated as a matrix with one row. If
p
is not a list, it is treated as a matrix with one
column.
A vector of length three or a matrix with n rows and three columns. It can also be a list of length d, in which case each element must be a vector of length three or a matrix with n rows and three columns.
Logical; use the inverse transformation?
Logical; return a vector rather than a single row matrix?. Note that a single column matrix is always returned as a vector.
Let \(x_i\) denote a vector of observations for
\(i = 1,\ldots,n\).
This function implements the transformation
$$y_{i} = \{1+s_i(x_{i}-a_i)/b_i\}_{+}^{-1/s_i}$$
to each column of the matrix x
.
The values \((a_i,b_i,s_i)\) are contained in the ith
row of the n by 3 matrix p
. If p
is a vector
of length three, the parameters are the same for every
\(i = 1,\ldots,n\). Alternatively, p
can be a list
with d elements, in which case the jth element is used to
transform the jth column of x
.
This function is mainly for internal use. It is used by bivariate and multivariate routines to calculate marginal transformations.