R: Simulate Markov Chains With Extreme Value Dependence...
evmc
R Documentation
Simulate Markov Chains With Extreme Value
Dependence Structures
Description
Simulation of first order Markov chains, such that each pair
of consecutive values has the dependence structure of one of
nine parametric bivariate extreme value distributions.
Dependence parameter for the logistic, asymmetric
logistic, Husler-Reiss, negative logistic and asymmetric
negative logistic models.
asy
A vector of length two, containing the two asymmetry
parameters for the asymmetric logistic and asymmetric negative
logistic models.
alpha, beta
Alpha and beta parameters for the bilogistic,
negative bilogistic, Coles-Tawn and asymmetric mixed models.
model
The specified model; a character string. Must be
either "log" (the default), "alog", "hr",
"neglog", "aneglog", "bilog",
"negbilog", "ct" or "amix" (or any unique
partial match), for the logistic, asymmetric logistic,
Husler-Reiss, negative logistic, asymmetric negative logistic,
bilogistic, negative bilogistic, Coles-Tawn and asymmetric mixed
models respectively. The definition of each model is given in
rbvevd. If parameter arguments are given that do
not correspond to the specified model those arguments are
ignored, with a warning.
margins
The marginal distribution of each value; a
character string. Must be either "uniform" (the
default), "rweibull", "frechet" or
"gumbel" (or any unique partial match), for the uniform,
standard reverse Weibull, standard Gumbel and standard Frechet
distributions respectively.
Value
A numeric vector of length n.
See Also
marma, rbvevd
Examples
evmc(100, alpha = 0.1, beta = 0.1, model = "bilog")
evmc(100, dep = 10, model = "hr", margins = "gum")