thinAndBurn: Process Metropolis output from extreme value model fitting to...

In harrysouthworth/texmex: Statistical Modelling of Extreme Values

Process Metropolis output from extreme value model fitting to discard unwanted observations.

Description

Process observations from Metropolis fitting of extreme value models, to thin the output and discard observations from burn-in period.

Usage

## S3 method for class 'evmSim'
thinAndBurn(object, burn, thin)

Arguments

object	Object of class 'evmSim' as returned by evm called with method="simulate".
burn	The number of observations from the simulated Markov Chain to be discarded as burn-in. Must be a non-negative integer, for no burn-in use burn=0.
thin	thin or its reciprocal must be a positive integer. If integer valued, this specifies the frequency of observations from the simulated Markov Chain which will be retained. If specified as a proportion, this is the proportion of values which will be retained. For no thinning use thin=1.

Value

Object of class evmSim. See Value returned by evm using method = "simulate" for details.

Note that the original chain is not discarded when this function is called: thinAndBurn can be called recursively on the original object with different values of burn and thin without the object getting progressively smaller!

Author(s)

Harry Southworth, Janet E. Heffernan

See Also

evm

Examples

  x <- rnorm(1000)
  # For the values of burn and thin below, we should do many more iterations.
  # The number of iterations is kept low here due to the run time allowed
  # by CRAN.
  mod <- evm(x, qu=.7, method="sim", iter=11000)
  mod
  par(mfrow=c(3, 2))
  plot(mod)
  mod1 <- thinAndBurn(mod,burn=1000, thin=5)
  plot(mod1)

harrysouthworth/texmex documentation built on March 8, 2024, 7:50 p.m.