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

Description

internal use only

Usage

 `1` ```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

P. Rakonczai

References

internal use only

See Also

internal use only

Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86``` ```##---- 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 30, 2017, 12:45 a.m.