Description Usage Arguments Examples
First transforms empirical marginal distributions to unit Pareto by using order statistics, second scales to 1/t, third censor values smaller than one, and then drops all vectors with no value greater than one.
1 | excess.censor(z,t=10)
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z |
a matrix representing the data. |
t |
a threshold value. |
1 2 3 4 5 | raw.data<-rCMS(copulas=c(copClayton,copGumbel),
margins=c(marginLnorm,marginFrechet),
classes=c(rep(1,10),rep(2,10)),
params=c(0.5,1,1.5,1.7),n=100)
data<-excess.censor(raw.data)
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