R/mex.R

In texmex: Threshold exceedences and multivariate extremes

mex <- function(data, which, mth, mqu, dqu, margins="laplace",constrain=TRUE,v=10,
                penalty="gaussian", maxit=10000,
                trace=0, verbose=FALSE, priorParameters=NULL){

	theCall <- match.call()

  if(is.null(colnames(data))){
    colnames(data) <- paste(rep("Column",ncol(data)),1:ncol(data),sep="")
  }
  
	if (missing(which)){
		which <- colnames(data)[1]
		cat("which not given. Conditioning on", which, "\n")
	}

	if (missing(mth)){
    if(length(mqu) == 1){
		  mqu <- rep(mqu, ncol(data))
    } 
    if( length(mqu) != ncol(data)){
      stop("mqu must be length 1 or length equal to the dimension of the data")
    }
		mth <- unlist(lapply(1:length(mqu), function(i, data, p){
												quantile(data[, i], prob=p[i])
											}, p=mqu, data=data))
	}

  res1 <- migpd(data=data, mth=mth, penalty=penalty,
                maxit=maxit, trace=trace, verbose=verbose,
                priorParameters=priorParameters)

	if (missing(dqu)){
		dqu <- res1$mqu[1]
	}

  res2 <- mexDependence(x= res1, which=which, dqu=dqu, margins=margins, constrain=constrain, v=v)
  res2$call <- theCall
  res2
}


print.mex <- function(x, ...){
	print(x$call, ...)
	cat("\n\nMarginal models:\n")
    summary(x[[1]])
    cat("\nDependence model:\n\n")
    print(x[[2]])
    invisible()
}

show.mex <- print.mex

summary.mex <- function(object, ...){
    print(object, ...)
    invisible(coef(object))
}

coefficients.mex <- function(object, ...){
    res1 <- coef(object[[1]])
    res2 <- coef(object[[2]]) # uses native coef method
    list(margins=res1, dependence=res2)
}

coef.mex <- coefficients.mex