rmo-package | R Documentation |
The rmo-package provides efficient sampling algorithms for the Marshall–Olkin distribution and a flexible S4-class system for creating diverse parametrizations.
Simulation algorithms are provided for various MO parametrizations. The
semantic naming scheme r*mo
is used, e.g.,
rpextmo()
allows to simulate from parametric families of extendible
Marshall–Olkin distributions. The function takes a killing-rate, a
drift, a scaling factor, a parameter vector, and a family name as
input.
rextmo()
allows to simulate from extendible Marshall–Olkin
distributions. It takes a Bernstein function as input.
rexmo()
allows to simulate from exchangeable Marshall–Olkin
distributions. It takes a vector of exchangeable shock-size arrival
intensities as input.
rmo()
allows to simulate from Marshall–Olkin distributions. It takes
vector of shock arrival intensities as input and uses the Arnold model
or exogenous shock model for sampling; the former can be used up until
dimension 30
, but the latter should only be used in very small
dimensions.
The default simulation algorithm is the Markovian death-counting model. Dependent on the parametrization, other algorithms can be used, e.g., the exogenous shock model, the Arnold model, or the Lévy-frailty model.
A Bernstein function can be used to parametrize the extendible Marshall–Olkin distribution.
Many families of Bernstein functions are available, e.g. ParetoBernsteinFunction, ExponentialBernsteinFunction, and AlphaStableBernsteinFunction.
Bernstein functions can be recombined by scaling, by summation or by composition, which can be used to create new Bernstein functions with ScaledBernsteinFunction, CompositeScaledBernsteinFunction and SumOfBernsteinFunctions.
An object that derives from BernsteinFunction can be used to
generate the Marshall–Olkin shock arrival intensities with intensities()
.
It can be used to generate (scaled) exchangeable shock-size arrival
intensities with exIntensities()
.
Maintainer: Henrik Sloot henrik.sloot@gmail.com (ORCID)
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