exceedProbs: exceedProbs function

In bentaylor1/lgcp: Log-Gaussian Cox Process

Description

This function can be called using MonteCarloAverage (see fun3 the examples in the help file for MonteCarloAverage). It computes exceedance probabilities,

P[\exp(Y_{t_1:t_2})>k],

that is the probability that the relative reisk exceeds threshold k. Note that it is possible to pass vectors of tresholds to the function, and the exceedance probabilities will be computed for each of these.

Usage

exceedProbs(threshold, direction = "upper")

Arguments

threshold	vector of threshold levels for the indicator function
direction	default 'upper' giving exceedance probabilities, alternative is 'lower', which gives 'subordinate probabilities'

Value

a function of Y that computes the indicator function I(exp(Y)>threshold) evaluated for each cell of a matrix Y If several tresholds are specified an array is returned with the [,,i]th slice equal to I(exp(Y)>threshold[i])

See Also

MonteCarloAverage, setoutput

bentaylor1/lgcp documentation built on May 12, 2019, 2:09 p.m.