View source: R/gridAverageMethods.R
exceedProbs | R Documentation |
This function can be called using MonteCarloAverage
(see fun3
the examples in the help file for
MonteCarloAverage). It computes exceedance probabilities,
P[\exp(Y_{t_1:t_2})>k],
that is the probability that the relative reisk exceeds threshold k
. Note that it is possible
to pass vectors of tresholds to the function, and the exceedance probabilities will be computed for each
of these.
exceedProbs(threshold, direction = "upper")
threshold |
vector of threshold levels for the indicator function |
direction |
default 'upper' giving exceedance probabilities, alternative is 'lower', which gives 'subordinate probabilities' |
a function of Y that computes the indicator function I(exp(Y)>threshold) evaluated for each cell of a matrix Y If several tresholds are specified an array is returned with the [,,i]th slice equal to I(exp(Y)>threshold[i])
MonteCarloAverage, setoutput
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