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#############################################################################
# Copyright (c) 2014 Mathieu Ribatet
#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program; if not, write to the
# Free Software Foundation, Inc.,
# 59 Temple Place, Suite 330, Boston, MA 02111-1307, USA
#
#############################################################################
dexi <- function(x, n.sim = 1000, n.mc = length(x$data),
plot = TRUE, ...){
thresh <- x$threshold
scale <- x$param["scale"]
shape <- x$param["shape"]
alpha <- x$param["alpha"]
pat <- x$pat
model <- x$model
scale.new <- shape * thresh / (pat^(-shape) - 1)
if (model %in% c("log", "nlog"))
param <- list(alpha = alpha)
if (model %in% c("alog", "anlog"))
param <- list(alpha = alpha, asCoef1 = x$param["asCoef1"],
asCoef2 = x$param["asCoef2"])
if (model == "mix")
param <- list(alpha = alpha, asCoef = 0)
if (model == "amix")
param <- list(alpha = alpha, asCoef = x$param["asCoef"])
param <- c(param, list(n = n.mc, model = model))
exi <- rep(0, n.sim)
mc <- rep(0, n.mc)
for (i in 1:n.sim){
mc <- do.call("simmc", param) #see mcpot-simmc.R
mc <- qgpd(mc, 0, scale.new, shape)
while(sum(mc > thresh) < 2){
mc <- do.call("simmc", param) #see mcpot-simmc.R
mc <- qgpd(mc, 0, scale.new, shape)
}
exi[i] <- fitexi(mc, thresh)$exi
}
if (plot)
plot(density(exi, bw = sd(exi) /2), ...)
invisible(exi)
}
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