dot-rpairbetaspec: Generates from Qi, the spectral measure of the pairwise Beta...

In lbelzile/mev: Modelling of Extreme Values

Generates from Q_i, the spectral measure of the pairwise Beta model

Description

This model was introduced in Cooley, Davis and Naveau (2010). The sample is drawn from a mixture and the algorithm follows from the proof of Theorem 1 in Ballani and Schlather (2011) and is written in full in Algorithm 1 of Sabourin et al. (2013).

Usage

.rpairbetaspec(n, d, alpha, beta)

Arguments

n	sample size
alpha	concentration parameter
beta	vector of all pairwise component (lexicographic order, by row)

Value

a matrix of samples from the angular distribution

an n by d sample from the spectral distribution

Author(s)

Leo Belzile

References

Cooley, D., R.A. Davis and P. Naveau (2010). The pairwise beta distribution: A flexible parametric multivariate model for extremes, Journal of Multivariate Analysis, 101(9), 2103–2117.

Ballani, D. and M. Schlather (2011). A construction principle for multivariate extreme value distributions, Biometrika, 98(3), 633–645.

Sabourin, A., P. Naveau and A. Fougeres (2013). Bayesian model averaging for extremes, Extremes, 16, 325–350.

lbelzile/mev documentation built on Oct. 28, 2024, 5:15 a.m.