exceedances_simulation: Simulates a path from the Latent Trawl Model for Extremes...

In valcourgeau/gammaextremes: Univariate Extreme Values with Trawl Processes

Description

Simulates a path from the Latent Trawl Model for Extremes (LTME) process (Noven et al. (2018) doi: 10.21314/JEM.2018.179)

Usage

exceedances_simulation(
  params,
  n,
  vanishing_depth,
  type,
  m = 1,
  parametrisation = "standard",
  parallel = F,
  algo = "standard"
)

Arguments

params	Trawl parameter(s).
n	Number of samples.
vanishing_depth	Approximation depth.
type	Trawl type (e.g. "exp", "sum_exp").
m	number of paths to use: if algo = "standard" or number of supporting paths if algo = "cross".
parametrisation	Parametrisation to use, defaults is standard GPD parameters (xi, sigma).
parallel	Whether to parallelise, defaults to FALSE. NOTE: only works with "standard" algorithm.
algo	Simulation algorithm to use (e.g "standard", "cross", "corr_unif", "dynamic_latent", "dynamic_uniform").

Value

Simulate path from trawl process.

Examples

xi <- 1.
kappa <- 19.
sigma <- 1.
n <- 100
vd <- 30
rho <- 0.2
type <- "exp"
exceedances_simulation(
     params=c(xi, sigma, kappa, rho), n=n, vanishing_depth=vd, type=type
)

valcourgeau/gammaextremes documentation built on Sept. 9, 2021, 5:42 a.m.