simmc {POT} | R Documentation |
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.
simmc(n, alpha, model = "log", asCoef, asCoef1, asCoef2, margins = "uniform")
n |
Number of observations. |
alpha |
Dependence parameter for the logistic, asymmetric logistic, negative logistic, asymmetric negative logistic, mixed and asymmetric mixed models. |
asCoef,asCoef1,asCoef2 |
The asymmetric coefficients for the asymmetric logistic, asymmetric negative logistic and asymmetric mixed models. |
model |
The specified model; a character string. Must be
either "log" (the default), "alog" , "nlog" ,
"anlog" , "mix" or "amix" , for the logistic, asymmetric logistic,
negative logistic, asymmetric negative logistic, mixed and asymmetric mixed
models respectively. |
margins |
The marginal distribution of each value; a
character string. Must be either "uniform" (the
default), "rweibull" , "frechet" or
"gumbel" , for the uniform, standard reversed Weibull,
standard Gumbel and standard Frechet distributions respectively. |
A numeric vector of length n
.
Alec Stephenson (modified for the POT package by Mathieu Ribatet)
simmc(100, alpha = 0.1, model = "log") simmc(100, alpha = 1.2, model = "nlog", margins = "gum")