trawl_slicing: Returns matrix with [ [S(1,1), S(2,1), S(3,1), \dots,...

In valcourgeau/gammaextremes: Univariate Extreme Values with Trawl Processes

Description

Returns matrix with [ [S(1,1), S(2,1), S(3,1), \dots, S(vanishing_depth,1)], [S(2,2), S(3,2), S(4,2), \dots, S(vanishing_depth+1,2)], \dots, [S(n,n), S(3,2), S(4,2), \dots, S(vanishing_depth+n,n)], ] where S(i,j) is a trawl slice.

Usage

trawl_slicing(n, vanishing_depth, trawl_parameter, type = "exp")

Arguments

n	Number of time steps.
vanishing_depth	Approximation depth.
trawl_parameter	Trawl parameter(s).
type	Trawl type (e.g. "exp", "sum_exp").

Value

Gamma-distributed standardised trawl slices.

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