evmc: Simulate Markov Chains With Extreme Value Dependence...

Description Usage Arguments Value Author(s) Examples

Description

Simulation of first order Markov chains, such that each pair of consecutive values has the dependence structure of one of nine parametric bivariate extreme value distributions.

Usage

1
2
simmc(n, alpha, model = "log", asCoef, asCoef1, asCoef2, margins =
"uniform")

Arguments

n

Number of observations.

alpha

Dependence parameter for the logistic, asymmetric logistic, negative logistic, asymmetric negative logistic, mixed and asymmetric mixed models.

asCoef,asCoef1,asCoef2

The asymmetric coefficients for the asymmetric logistic, asymmetric negative logistic and asymmetric mixed models.

model

The specified model; a character string. Must be either "log" (the default), "alog", "nlog", "anlog", "mix" or "amix", for the logistic, asymmetric logistic, negative logistic, asymmetric negative logistic, mixed and asymmetric mixed models respectively.

margins

The marginal distribution of each value; a character string. Must be either "uniform" (the default), "rweibull", "frechet" or "gumbel", for the uniform, standard reversed Weibull, standard Gumbel and standard Frechet distributions respectively.

Value

A numeric vector of length n.

Author(s)

Alec Stephenson (modified for the POT package by Mathieu Ribatet)

Examples

1
2
simmc(100, alpha = 0.1, model = "log")
simmc(100, alpha = 1.2, model = "nlog", margins = "gum")

Example output

  [1] 0.3319782 0.3582407 0.2880949 0.3205025 0.2477892 0.1776246 0.3257008
  [8] 0.2466849 0.1560794 0.1434909 0.2990793 0.2987151 0.3316150 0.2141566
 [15] 0.3512970 0.3609641 0.4849768 0.4449486 0.4284919 0.3119320 0.3681597
 [22] 0.4301910 0.4951405 0.4891606 0.4459799 0.4635024 0.4538269 0.4630812
 [29] 0.3358656 0.3130175 0.2163128 0.2075763 0.1936676 0.2258206 0.1736658
 [36] 0.1456171 0.1311177 0.1097738 0.1257193 0.1306312 0.2851354 0.2180777
 [43] 0.2541891 0.2861638 0.1664281 0.2366691 0.1279661 0.2620948 0.2716712
 [50] 0.3719147 0.4093221 0.4656716 0.4604246 0.5046290 0.4308266 0.3462750
 [57] 0.3184934 0.3672996 0.3537911 0.2897220 0.3465262 0.3705243 0.4099196
 [64] 0.4311330 0.4203848 0.3768022 0.2813447 0.3545797 0.3378940 0.3893198
 [71] 0.3665904 0.4877467 0.4753076 0.4715388 0.4501730 0.4946867 0.5475437
 [78] 0.5334872 0.4918229 0.5233527 0.5200158 0.5273650 0.4315533 0.4553980
 [85] 0.4782040 0.3604475 0.4347310 0.4907302 0.5687539 0.6080237 0.6064060
 [92] 0.6420190 0.6082706 0.6490628 0.6950511 0.6917227 0.7423151 0.7335747
 [99] 0.6871105 0.6400330

POT documentation built on May 2, 2019, 7:30 a.m.