dot-rpairbetaspec: Generates from Qi, the spectral measure of the pairwise Beta...

In mev: Modelling of Extreme Values

Generates from Q_i, the spectral measure of the pairwise Beta model

Description

This model was introduced in Cooley, Davis and Naveau (2010). The sample is drawn from a mixture and the algorithm follows from the proof of Theorem 1 in Ballani and Schlather (2011) and is written in full in Algorithm 1 of Sabourin et al. (2013).

Usage

.rpairbetaspec(n, d, alpha, beta)

Arguments

n	sample size
alpha	concentration parameter
beta	vector of all pairwise component (lexicographic order, by row)

Value

a matrix of samples from the angular distribution

an n by d sample from the spectral distribution

Author(s)

Leo Belzile

References

Cooley, D., R.A. Davis and P. Naveau (2010). The pairwise beta distribution: A flexible parametric multivariate model for extremes, Journal of Multivariate Analysis, 101(9), 2103–2117.

Ballani, D. and M. Schlather (2011). A construction principle for multivariate extreme value distributions, Biometrika, 98(3), 633–645.

Sabourin, A., P. Naveau and A. Fougeres (2013). Bayesian model averaging for extremes, Extremes, 16, 325–350.

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