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

Description Usage Arguments Value See Also 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
3
evmc(n, dep, asy = c(1,1), alpha, beta, model = c("log", "alog",
    "hr", "neglog", "aneglog", "bilog", "negbilog", "ct", "amix"),
    margins = c("uniform","rweibull","frechet","gumbel"))

Arguments

n

Number of observations.

dep

Dependence parameter for the logistic, asymmetric logistic, Husler-Reiss, negative logistic and asymmetric negative logistic models.

asy

A vector of length two, containing the two asymmetry parameters for the asymmetric logistic and asymmetric negative logistic models.

alpha, beta

Alpha and beta parameters for the bilogistic, negative bilogistic, Coles-Tawn and asymmetric mixed models.

model

The specified model; a character string. Must be either "log" (the default), "alog", "hr", "neglog", "aneglog", "bilog", "negbilog", "ct" or "amix" (or any unique partial match), for the logistic, asymmetric logistic, Husler-Reiss, negative logistic, asymmetric negative logistic, bilogistic, negative bilogistic, Coles-Tawn and asymmetric mixed models respectively. The definition of each model is given in rbvevd. If parameter arguments are given that do not correspond to the specified model those arguments are ignored, with a warning.

margins

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

Value

A numeric vector of length n.

See Also

marma, rbvevd

Examples

1
2
evmc(100, alpha = 0.1, beta = 0.1, model = "bilog")
evmc(100, dep = 10, model = "hr", margins = "gum")

Example output

  [1] 0.22535212 0.15715143 0.21256015 0.22058824 0.25330570 0.29727715
  [7] 0.27971920 0.30311910 0.34990547 0.26640911 0.29985679 0.25833195
 [13] 0.26679564 0.28273415 0.33072016 0.24729353 0.27882566 0.14757000
 [19] 0.16865205 0.11194485 0.12611968 0.12396104 0.13183754 0.08308394
 [25] 0.12800603 0.23903568 0.23604279 0.17037117 0.10684468 0.08668579
 [31] 0.11976214 0.11898219 0.20872094 0.11105640 0.11900752 0.14357974
 [37] 0.12336118 0.10762519 0.10181286 0.07886083 0.08721942 0.08197737
 [43] 0.03870585 0.05004468 0.04440667 0.05800825 0.05967323 0.12772690
 [49] 0.26477148 0.32201754 0.10182478 0.14143418 0.11618089 0.11505582
 [55] 0.09715476 0.06515135 0.08912352 0.10681991 0.11540227 0.10385443
 [61] 0.09222833 0.08205286 0.07318836 0.07561305 0.03486264 0.06484435
 [67] 0.07344496 0.06555828 0.03565864 0.03409975 0.01715101 0.01426321
 [73] 0.01480331 0.01112404 0.02692261 0.05457642 0.03996328 0.03448280
 [79] 0.03354613 0.02754254 0.02104980 0.01977294 0.01140048 0.01137600
 [85] 0.03021658 0.01777483 0.01340932 0.16075517 0.10522786 0.13621765
 [91] 0.15399195 0.15789554 0.13770494 0.19635639 0.19669379 0.19414984
 [97] 0.21801794 0.47102453 0.50902243 0.46966128
  [1] 1.792726 2.074428 2.054864 2.162692 2.000053 2.157921 2.378670 2.221457
  [9] 1.989869 1.814650 2.097859 2.280393 2.518226 2.751558 2.746162 2.985727
 [17] 2.996626 3.027700 2.831430 2.562243 2.641778 2.661751 2.698034 3.430932
 [25] 3.514566 3.756141 3.895851 3.723356 3.803344 4.054237 4.025193 4.106481
 [33] 3.959528 3.921070 3.985273 4.214100 4.097299 3.797324 4.138780 4.128831
 [41] 3.843219 4.070280 4.286090 4.351686 4.127076 3.971123 4.443896 4.259858
 [49] 4.372567 4.180044 4.199320 4.428227 4.677724 4.710152 4.583216 4.562048
 [57] 4.993842 5.096783 5.213336 5.132983 4.953541 5.116368 5.061399 4.762243
 [65] 4.678276 4.582025 4.117019 3.781368 3.604430 3.580334 3.491994 3.314828
 [73] 3.495452 3.574943 3.577436 3.695517 3.812083 3.532135 3.532191 3.517594
 [81] 3.553391 3.141269 3.033873 2.419846 2.512226 2.689055 2.716792 2.574501
 [89] 2.979582 3.024674 3.240753 3.023901 3.000034 2.905543 2.728379 2.774679
 [97] 2.672528 2.560752 2.211281 2.133363

evd documentation built on May 1, 2019, 10:11 p.m.