Simple MC integration on the simplex for joint excess probability, in the PB model.
excessProb.condit.pb(
par = c(0.8, 1, 2, 3),
thres = rep(500, 5),
precision = 0.1,
Nmin = 200,
displ = FALSE,
add = FALSE
)a list made of
The mean estimate from the MC sample
The estimated standard deviation of the estimator
The estimated standard deviation of the MC sample
the DM parameter, as a list
the multivariate threshold
The desired relative precision of the estimate.
The number of MC iterations to be performed
logical: should convergence diagnostic plots be issued ?
logical: should the plot be added to a current one ?