lgcp (version 1.3-3)

exceedProbs: exceedProbs function

Description

This function can be called using MonteCarloAverage (see fun3 the examples in the help file for MonteCarloAverage). It computes exceedance probabilities, $$P[\exp(Y_{t_1:t_2})>k],$$ that is the probability that the relative reisk exceeds threshold $k$. Note that it is possible to pass vectors of tresholds to the function, and the exceedance probabilities will be computed for each of these.

Usage

exceedProbs(threshold, direction = "upper")

Arguments

threshold

vector of threshold levels for the indicator function

direction

default 'upper' giving exceedance probabilities, alternative is 'lower', which gives 'subordinate probabilities'

Value

• a function of Y that computes the indicator function I(exp(Y)>threshold) evaluated for each cell of a matrix Y If several tresholds are specified an array is returned with the [,,i]th slice equal to I(exp(Y)>threshold[i])

See Also

MonteCarloAverage, setoutput