transf_psineglog: internal

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

Description

internal use only

Usage

transf_psineglog(mar1 = c(0, 1, 0.1), mar2 = c(0, 1, 0.1), dep = 2, asy = 0, p = 3, compare = 2, ...)

Arguments

mar1
mar2
dep
asy
p
compare
...

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 (mar1 = c(0, 1, 0.1), mar2 = c(0, 1, 0.1), dep = 2, 
    asy = 0, p = 3, compare = 2, ...) 
{
    A1 = expression(1 - (x^(-alpha) + (1 - x)^(-alpha))^(-1/alpha))
    fi1 = expression(c * t^a * (1 - t)^a + t)
    d1A1 = D(A1, "x")
    d2A1 = D(d1A1, "x")
    A = function(x, alpha) eval({
        x <- x
        alpha <- alpha
        A1
    })
    d1A = function(x, alpha) eval({
        x <- x
        alpha <- alpha
        d1A1
    })
    d2A = function(x, alpha) eval({
        x <- x
        alpha <- alpha
        d2A1
    })
    d1fi1 = D(fi1, "t")
    d2fi1 = D(d1fi1, "t")
    fi = function(t, c, a) eval({
        t <- t
        c <- c
        a <- a
        fi1
    })
    d1fi = function(t, c, a) eval({
        t <- t
        c <- c
        a <- a
        d1fi1
    })
    d2fi = function(t, c, a) eval({
        t <- t
        c <- c
        a <- a
        d2fi1
    })
    Afi = function(t, alpha, c, a) A(fi(t, c, a), alpha)
    d1Afi = function(t, alpha, c, a) d1A(fi(t, c, a), alpha) * 
        d1fi(t, c, a)
    d2Afi = function(t, alpha, c, a) d2A(fi(t, c, a), alpha) * 
        (d1fi(t, c, a))^2 + d1A(fi(t, c, a), alpha) * d2fi(t, 
        c, a)
    mu = function(x, y, alpha, c, a) (1/x + 1/y) * Afi(x/(x + 
        y), alpha, c, a)
    param = as.numeric(c(mar1, mar2, dep, asy, p))
    mux = param[1]
    muy = param[4]
    sigx = param[2]
    sigy = param[5]
    gamx = param[3]
    gamy = param[6]
    alpha = param[7]
    asy = param[8]
    p = param[9]
    hxy = NULL
    error = FALSE
    xx = seq(0, 1, 0.01)
    if (min(d1Afi(xx, alpha, asy, p), na.rm = TRUE) < (-1) | 
        max(d1Afi(xx, alpha, asy, p), na.rm = TRUE) > (+1)) 
        error = TRUE
    if (min(d2Afi(xx, alpha, asy, p), na.rm = TRUE) < 0) 
        error = TRUE
    if (sigx < 0 | sigy < 0 | alpha > 5 | alpha < 1.1) 
        error = TRUE
    par(mfrow = c(1, 2))
    plot(xx, fi(xx, asy, p) - xx, t = "l", main = expression(c * 
        x^a * (1 - x)^a), xlab = "x", ylab = "")
    abline(h = 0, lty = 3)
    plot(xx, d2Afi(xx, alpha, asy, p), t = "l", main = "Spectral density", 
        xlab = "x", ylab = "", ylim = c(0, 4))
    lines(xx, d2A(xx, compare), lty = 3)
    spdens = cbind(xx, fi(xx, asy, p) - xx, d2Afi(xx, alpha, 
        asy, p), d2A(xx, compare))
    spdens
  }

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