excessProb.condit.pb: Estimates the probability of joint excess, given a PB...

In lbelzile/BMAmevt: Multivariate Extremes: Bayesian Estimation of the Spectral Measure

Estimates the probability of joint excess, given a PB parameter.

Description

Simple MC integration on the simplex for joint excess probability, in the PB model.

Usage

excessProb.condit.pb(
  par = c(0.8, 1, 2, 3),
  thres = rep(500, 5),
  precision = 0.1,
  Nmin = 200,
  displ = FALSE,
  add = FALSE
)

Arguments

par	the DM parameter, as a list
thres	the multivariate threshold
precision	The desired relative precision of the estimate.
Nmin	The number of MC iterations to be performed
displ	logical: should convergence diagnostic plots be issued ?
add	logical: should the plot be added to a current one ?

Value

a list made of

mean

The mean estimate from the MC sample

esterr

The estimated standard deviation of the estimator

estsd

The estimated standard deviation of the MC sample

lbelzile/BMAmevt documentation built on April 28, 2023, 2:29 p.m.