.mvrnorm_arma

Multivariate Normal distribution sampler (Rcpp version), derived using the eigendecomposition
of the covariance matrix Sigma. The function utilizes the arma random normal generator

internal

Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes [Dombry, Engelke and Oesting (2016) <doi:10.1093/biomet/asw008>, R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, <doi:10.1093/biomet/ast042>) and Extremal Student (Thibaud and Opitz, 2015, <doi:10.1093/biomet/asv045>). Threshold selection methods, including Wadsworth (2016) <doi:10.1080/00401706.2014.998345>, and Northrop and Coleman (2014) <doi:10.1007/s10687-014-0183-z>. Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) <doi:10.1007/978-1-4471-3675-0>.

Leo Belzile

Modelling of Extreme Values

Jennifer L. Wadsworth

Paul J. Northrop

Scott D. Grimshaw

Jin Zhang

Michael A. Stephens

Art B. Owen

Raphael Huser

.mvrnorm_arma function

<dl><dt>n</dt>
<dd>sample size</dd>
<dt>Mu</dt>
<dd>mean vector. Will set the dimension</dd>
<dt>Xmat</dt>
<dd>covariance matrix, of same dimension as <code>Mu</code> (and square matrix).
No sanity check is performed to validate that the matrix is symmetric, so use at own risk</dd></dl>

Arguments

Multivariate Normal distribution sampler (Rcpp version), derived using the eigendecomposition
of the covariance matrix Sigma. The function utilizes the arma random normal generator — .mvrnorm_arma

<dl>

<dt>n</dt>
<dd>sample size</dd>


<dt>Mu</dt>
<dd>mean vector. Will set the dimension</dd>


<dt>Xmat</dt>
<dd>covariance matrix, of same dimension as <code>Mu</code> (and square matrix).
No sanity check is performed to validate that the matrix is symmetric, so use at own risk</dd>

</dl>

Multivariate Normal distribution sampler (Rcpp version), derived using the eigendecomposition
of the covariance matrix Sigma. The function utilizes the arma random normal generator

.mvrnorm_arma: Multivariate Normal distribution sampler (Rcpp version), derived using the eigendecomposition of the covariance matrix Sigma. The function utilizes the arma random normal generator

Description

Usage

Value

Arguments