MarginalTransformation: Marginal transformation of the observations to Frechet or...

In lbelzile/ExtLiouv: Functions for 'Extremal attractor of Liouville copulas'

Description

This function uses the probability integral transform to map the observations to unit Frechet scale GEV(1,1,1) or unit Pareto distribution GP(1,1,1). The function returns a list with the transformed observation and the marginal transformation Jacobian.

Usage

MarginalTransformation(data, u, lambda, scale, shape, GEVorGP = TRUE)

Arguments

data	n by d matrix of observations on original scale
u	threshold (on y-scale), to be substracted from y
lambda	vector of percentage of threshold exceedances
scale	vector of scale parameters
shape	vector of shape parameters
GEVorGP	logical indicating whether to transform to unit Frechet or unit Pareto. Default to true (GEV).

lbelzile/ExtLiouv documentation built on May 20, 2019, 8:28 p.m.