Learn R Programming

mev (version 1.17)

.rsmithspec: Generates from \(Q_i\), the spectral measure of the Smith model (moving maxima)

Description

Simulation algorithm of Dombry et al. (2015)

Usage

.rsmithspec(n, Sigma_chol, loc)

Value

an n by d sample from the spectral distribution

Arguments

n

sample size

Sigma_chol

Cholesky decomposition of the d-dimensional covariance matrix (upper triangular)

loc

location matrix

References

Dombry, Engelke and Oesting (2016). Exact simulation of max-stable processes, Biometrika, 103(2), 303--317.