R/GevSim.R

In fExtremes: Rmetrics - Modelling Extreme Events in Finance

# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General 
# Public License along with this library; if not, write to the 
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston, 
# MA  02111-1307  USA


################################################################################
# FUNCTION:             GEV SIMULATION:
#  gevSim                Simulates a GEV distributed process
#  gumbelSim             Simulates a Gumbel distributed process
################################################################################


gevSim = 
function(model = list(xi = -0.25, mu = 0, beta = 1), n = 1000, seed = NULL)
{   # A function implemented by Diethelm Wuertz

    # Description:
    #   Generates random variates from a GEV distribution
    
    # Arguments:
    
    # Examples:
    #   gevSim(n = 100)
    #   gevSim(n = 100, seed = 4711)
    #   gevSim(model = list(xi = -0.15, mu = 0, beta = 0.02))
    
    # FUNCTION:
    
    # Seed:
    if (is.null(seed)) seed = NA else set.seed(seed)
    
    # Simulate:
    ans = rgev(n = n, xi = model$xi, mu = model$mu, beta = model$beta)
    # DW: ans = as.ts(ans)
    ans = timeSeries(ans, units = "GEV")
    
    # Control:
    attr(ans, "control") = 
        data.frame(t(unlist(model)), seed = seed, row.names = "control")
        
    # Return Value:
    ans 
}


# ------------------------------------------------------------------------------


gumbelSim = 
function(model = list(mu = 0, beta = 1), n = 1000, seed = NULL)
{   # A function implemented by Diethelm Wuertz

    # Description:
    #   Generates random variates from a GEV distribution
    
    # Arguments:
    
    # Examples:
    #   gumbelSim(n = 100)
    #   gumbelSim(n = 100, seed = 4711)
    
    # FUNCTION:
    
    # Simulate:
    ans = gevSim(model = list(xi = 0, mu = model$mu, beta = model$beta), 
        n = n, seed = seed)
    colnames(ans) = "GUMBEL"
        
    # Return Value:
    ans 
}


################################################################################