dot-rmevA2: Multivariate extreme value distribution sampling algorithm...

.rmevA2R Documentation

Multivariate extreme value distribution sampling algorithm via extremal functions

Description

Code implementing Algorithm 2 in Dombry, Engelke and Oesting (2016)

Usage

.rmevA2(n, d, par, model, Sigma, loc)

Arguments

n

sample size

d

dimension of the multivariate distribution

par

a vector of parameters

model

integer, currently ranging from 1 to 9, corresponding respectively to (1) log, (2) neglog, (3) dirmix, (4) bilog, (5) extstud, (6) br, (7) ct and sdir, (8) smith and (9) hr.

Sigma

covariance matrix for Brown-Resnick, Smith and extremal student. Default for compatibility

loc

matrix of location for Smith model.

Value

a n by d matrix containing the sample


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