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mev (version 1.17)

.rPHuslerReiss: Generate from extremal Husler-Reiss distribution \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function

Description

Generate from extremal Husler-Reiss distribution \(Y \sim {P_x}\), where \(P_{x}\) is probability of extremal function

Usage

.rPHuslerReiss(index, cholesky, Sigma)

Value

a d-vector from \(P_x\)

Arguments

index

index of the location. An integer in 0, ..., \(d-1\)

cholesky

the Cholesky root of Sigma

Sigma

a covariance matrix formed from the symmetric square matrix of coefficients \(\lambda^2\)