dot-rdirspec: Generates from Qi, the spectral measure of the extremal...

In mev: Modelling of Extreme Values

Generates from Q_i, the spectral measure of the extremal Dirichlet model

Description

This model was introduced in Coles and Tawn (1991); the present method uses the simulation algorithm of Boldi (2009) for the extremal Dirichlet model

Usage

.rdirspec(n, d, alpha, irv = FALSE)

Arguments

n	sample size
d	dimension of sample
alpha	vector of Dirichlet parameters of dimension d, or d+1 vector with the d Dirichlet parameters and an index of regular variation in [0, 1]
irv	should the usual model (FALSE) or the general scaled version (TRUE) be used

Value

an n by d sample from the spectral distribution

References

Boldi (2009). A note on the representation of parametric models for multivariate extremes. Extremes 12, 211–218.

mev documentation built on Sept. 11, 2024, 8:14 p.m.