Description Usage Arguments Details Author(s) References Examples

Building a dynamic mixture model as a sevdist object

1 | ```
buildMixingSevdist(body.distr, body.param, tail.distr, tail.param, mixing.param)
``` |

`body.distr` |
A string giving the name of the body distribution. |

`body.param` |
Vector of the parameters for the given body distribution. |

`tail.distr` |
A string giving the name of the tail distribution. |

`tail.param` |
Vector of the parameters for the given tail distribution. Distributions "lgamma", "weibull", "gpd", "gh" are recognised. |

`mixing.param` |
Vector of the parameters for the given mixing distribution. |

A sevdist object with type 'mixing' is generated, i.e. the distribution of the severity is a dynamic mixture of the distributions 'body.distr' with parameters given by 'body.param' and 'tail.distr' with parameters given by 'tail.param' using the cdf of a mixing distribution 'mixing.distr' with parameters 'mixing.param' according to Frigessi et al. (2002).

The density *f(x)* for a dynamic mixture model with body distribution having density *g* and tail distribution having density *h* and cumulative distribution function *p* of the mixing distribution is given below:

*f(x) = C*[p(x)*g(x) +(1-p(x))*h(x)]*

Christina Zou

Frigessi, A., Haug, O., & Rue, H. (2002). A dynamic mixture model for unsupervised tail estimation without threshold selection. Extremes, 5(3), 219-235.

1 2 3 4 | ```
# Create mixing sevdist object
sevdist = buildMixingSevdist("weibull", c(2,6), "gpd", c(0,4,-0.5), c(8,.8))
# Plot pdf
plot(sevdist)
``` |

OpVaR documentation built on May 29, 2018, 9:04 a.m.

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