.rmevA2

Code implementing Algorithm 2 in Dombry, Engelke and Oesting (2016)

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

.rmevA2 function

<dl><dt>n</dt>
<dd>sample size</dd>
<dt>d</dt>
<dd>dimension of the multivariate distribution</dd>
<dt>par</dt>
<dd>a vector of parameters</dd>
<dt>model</dt>
<dd>integer, currently ranging from 1 to 9, corresponding respectively to
(1) <code>log</code>, (2) <code>neglog</code>, (3) <code>dirmix</code>, (4) <code>bilog</code>,
(5) <code>extstud</code>, (6) <code>br</code>, (7) <code>ct</code> and <code>sdir</code>, (8) <code>smith</code> and (9) <code>hr</code>.</dd>
<dt>Sigma</dt>
<dd>covariance matrix for Brown-Resnick, Smith and extremal student. Default for compatibility</dd>
<dt>loc</dt>
<dd>matrix of location for Smith model.</dd></dl>

Arguments

Multivariate extreme value distribution sampling algorithm via extremal functions — .rmevA2

<dl>

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


<dt>d</dt>
<dd>dimension of the multivariate distribution</dd>


<dt>par</dt>
<dd>a vector of parameters</dd>


<dt>model</dt>
<dd>integer, currently ranging from 1 to 9, corresponding respectively to
(1) <code>log</code>, (2) <code>neglog</code>, (3) <code>dirmix</code>, (4) <code>bilog</code>,
(5) <code>extstud</code>, (6) <code>br</code>, (7) <code>ct</code> and <code>sdir</code>, (8) <code>smith</code> and (9) <code>hr</code>.</dd>


<dt>Sigma</dt>
<dd>covariance matrix for Brown-Resnick, Smith and extremal student. Default for compatibility</dd>


<dt>loc</dt>
<dd>matrix of location for Smith model.</dd>

</dl>

.rmevA2: Multivariate extreme value distribution sampling algorithm via extremal functions

Description

Usage

Value

Arguments