HiDimMaxStable (version 0.1.1)

excess.censor: Transforms data to normalized exceedances with censoring

Description

First transforms empirical marginal distributions to unit Pareto by using order statistics, second scales to 1/t, third censor values smaller than one, and then drops all vectors with no value greater than one.

Usage

excess.censor(z,t=10)

Arguments

z

a matrix representing the data.

t

a threshold value.

Examples

raw.data<-rCMS(copulas=c(copClayton,copGumbel),
               margins=c(marginLnorm,marginFrechet),
               classes=c(rep(1,10),rep(2,10)),
               params=c(0.5,1,1.5,1.7),n=100)
data<-excess.censor(raw.data)