ExtremalDep (version 0.0.3-5)

r_extr_mod: Random sample generation from extremal dependence models

Description

Generates random samples of iid observations from the Extremal-$t$ and Extremal Skew-$t$ models.

Usage

r_extr_mod(model, n, param)

Value

Returns a matrix with \(dim\) columns and \(n\) columns.

Arguments

model

A string with the name of the model: "Extremalt" or "Skewt".

n

An integer indicating the number of numbers to be generated.

param

A vector containing the parameters of the model. See Details.

Author

Simone Padoan, , https://mypage.unibocconi.it/simonepadoan/; Boris Beranger, https://www.borisberanger.com/;

Details

If model="Extremalt" then the parameter vector is made of a dependence parameter vector of size \(choose(dim,2)\) and a degree of freedom. If model="Skewt" then the parameter vector is made of a dependence parameter vector of size \(choose(dim,2)\), a vector of shape (or skewness) parameters of size \(dim\) and a degree of freedom.

References

Beranger, B., Padoan, S. A. and Sisson, S. A. (2017). Models for extremal dependence derived from skew-symmetric families. Scandinavian Journal of Statistics, 44(1), 21-45.

Examples

### Extremal-t

if (interactive()){
## Bivariate
r_extr_mod("Extremalt", n=5, par=c(0.5,2))
}

if (interactive()){
## Trivariate
r_extr_mod("Extremalt", n=5, par=c(0.5,0.6,0.4,2))
}

### Extremal Skew-t

if (interactive()){
## Bivariate
r_extr_mod("Skewt", n=5, par=c(0.5,-1,1,2))
}

if (interactive()){
## Trivariate
r_extr_mod("Skewt", n=5, par=c(0.5,0.6,0.4,-2,-2,5,2))
}