clikmgp: Censored likelihood for multivariate peaks over threshold...

In mev: Modelling of Extreme Values

Censored likelihood for multivariate peaks over threshold models

Description

Censored likelihoods for various parametric limiting models over region determined by

\{y \in F: \max_{j=1}^D \sigma_j \frac{y^\xi_j-1}{\xi_j}+\mu_j > u\};

where \mu is loc, \sigma is scale and \xi is shape.

Usage

clikmgp(
  dat,
  thresh,
  mthresh = thresh,
  loc,
  scale,
  shape,
  par,
  model = c("log", "neglog", "br", "xstud"),
  likt = c("mgp", "pois", "binom"),
  lambdau = 1,
  ...
)

Arguments

dat	matrix of observations
thresh	functional threshold for the maximum
mthresh	vector of individuals thresholds under which observations are censored
loc	vector of location parameter for the marginal generalized Pareto distribution
scale	vector of scale parameter for the marginal generalized Pareto distribution
shape	vector of shape parameter for the marginal generalized Pareto distribution
par	list of parameters: alpha for the logistic model, Lambda for the Brown–Resnick model or else Sigma and df for the extremal Student.
model	string indicating the model family, one of "log", "neglog", "br" or "xstud"
likt	string indicating the type of likelihood, with an additional contribution for the non-exceeding components: one of "mgp", "binom" and "pois".
lambdau	vector of marginal rate of marginal threshold exceedance.
...	additional arguments (see Details)

Details

Optional arguments can be passed to the function via ...

• censored matrix of booleans and NA indicating whether observations dat fall below the mthreshold mthresh

• cl cluster instance created by makeCluster (default to NULL)

• ncors number of cores for parallel computing of the likelihood

• numAbovePerRow number of observations above mthreshold (non-missing) per row

• numAbovePerCol number of observations above mthreshold (non-missing) per column

• mmax maximum per column

• B1 number of replicates for quasi Monte Carlo integral for the exponent measure

• B2 number of replicates for quasi Monte Carlo integral for the censored intensity contribution

• genvec1 generating vector for the quasi Monte Carlo routine (exponent measure), associated with B1

• genvec2 generating vector for the quasi Monte Carlo routine (individual obs contrib), associated with B2

Value

the value of the log-likelihood with attributes expme, giving the exponent measure

Note

The location and scale parameters are not identifiable unless one of them is fixed.

mev documentation built on May 29, 2024, 9:10 a.m.