# evmc: Simulate Markov Chains With Extreme Value Dependence... In POT: Generalized Pareto Distribution and Peaks Over Threshold

## 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.