Description Usage Arguments Value Examples
Simulation of extreme value path using latent trawl process. Transformed
marginals have scale parameter 1+kappa
.
1 2 3 |
alpha |
Shape parameter. |
beta |
Scale parameter. |
kappa |
Additive constant to scale parameter |
rho |
Trawl parameters. Must be positive if Exponential trawls are used. |
times |
Vectors of discret times. |
marg.dist |
Name of infinitely divisible distribution for latent trawls. Currenlty implemented: gamma, gaussian, generalised hyperbolic, generalised inverse gaussian. |
n |
Number of simulations (so far, only |
transformation |
Boolean to apply marginal transform method. Default is False (F). |
trawl.function |
Type of trawl function that should be used. Default NA. |
trawl.fs |
collection of trawl functions indexed on |
trawl.fs.prim |
collection of trawl functions primitives indexed on
|
n_moments |
Number of finite moments for transformed marginals. |
deep_cols |
Depth of reconstruction (columns). Default is 30. |
Simulated path (size the same as times) of latent-trawl extreme value process.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | alpha <- 3
beta <- 2
kappa <- 0.95
rho <- 0.2
n.timestamps <- 200
times <- 1:n.timestamps
marg.dist <- "gamma"
n <- 1
transformation <- FALSE
trawl.function <- "exp"
rlexceed(alpha = alpha, beta = beta, kappa = kappa, rho = rho, times = times,
marg.dist = marg.dist, n = n, transformation = transformation,
trawl.function= trawl.function)
|
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