pbgpd_neglog: internal

In mgpd: mgpd: Functions for multivariate generalized Pareto distribution (MGPD of Type II)

Description

internal use only

Usage

pbgpd_neglog(x, y, mar1 = c(0, 1, 0.1), mar2 = c(0, 1, 0.1), dep = 1.5, ...)

Arguments

x
y
mar1
mar2
dep
...

Details

internal use only

Value

internal use only

Note

internal use only

Author(s)

P. Rakonczai

References

internal use only

See Also

internal use only

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (x, y, mar1 = c(0, 1, 0.1), mar2 = c(0, 1, 0.1), dep = 1.5, 
    ...) 
{
    mu1 = expression(1/x + 1/y - (x^(alpha) + y^(alpha))^(-1/alpha))
    mu = function(x, y) eval({
        x <- x
        y <- y
        mu1
    })
    param = as.numeric(c(mar1, mar2, dep))
    mux = param[1]
    muy = param[4]
    sigx = param[2]
    sigy = param[5]
    gamx = param[3]
    gamy = param[6]
    alpha = param[7]
    Hxy = NULL
    error = FALSE
    if (sigx < 0 | sigy < 0 | alpha < 0) 
        error = TRUE
    if (!error) {
        Hxy = NA
        tx = (1 + gamx * (x - mux)/sigx)^(1/gamx)
        ty = (1 + gamy * (y - muy)/sigy)^(1/gamy)
        tx0 = (1 + gamx * (-mux)/sigx)^(1/gamx)
        ty0 = (1 + gamy * (-muy)/sigy)^(1/gamy)
        c0 = -mu(tx0, ty0)
        Hxy = 1/c0 * (mu(tx, ty) - mu(pmin(tx, rep(tx0, length(tx))), 
            pmin(ty, rep(ty0, length(tx)))))
    }
    else stop("invalid parameter(s)")
    Hxy
  }

mgpd documentation built on May 2, 2019, 9:39 a.m.