excessProb.condit.pb: Estimates the probability of joint excess, given a PB...

In BMAmevt: Multivariate Extremes: Bayesian Estimation of the Spectral Measure

Estimates the probability of joint excess, given a PB parameter.

Description

Simple MC integration on the simplex for joint excess probability, in the PB model.

Usage

excessProb.condit.pb(
  par = c(0.8, 1, 2, 3),
  thres = rep(500, 5),
  precision = 0.1,
  Nmin = 200,
  displ = FALSE,
  add = FALSE
)

Arguments

par	the DM parameter, as a list
thres	the multivariate threshold
precision	The desired relative precision of the estimate.
Nmin	The number of MC iterations to be performed
displ	logical: should convergence diagnostic plots be issued ?
add	logical: should the plot be added to a current one ?

Value

a list made of

mean

The mean estimate from the MC sample

esterr

The estimated standard deviation of the estimator

estsd

The estimated standard deviation of the MC sample

BMAmevt documentation built on April 21, 2023, 9:07 a.m.