dot-rmevspec_cpp: Random sampling from spectral distribution on l1 sphere

.rmevspec_cppR Documentation

Random sampling from spectral distribution on l1 sphere

Description

Generate from Qi, the spectral measure of a given multivariate extreme value model

Usage

.rmevspec_cpp(n, d, para, model, Sigma, loc)

Arguments

n

sample size

d

dimension of the multivariate distribution

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 and extremal student, symmetric matrix of squared coefficients λ^2 for Husler-Reiss. Default for compatibility

loc

matrix of locations for the Smith model

param

a vector of parameters

Value

a n by d matrix containing the sample

References

Dombry, Engelke and Oesting (2016). Exact simulation of max-stable processes, Biometrika, 103(2), 303–317.

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


mev documentation built on April 26, 2022, 1:07 a.m.