HiDimMaxStable (version 0.1.1)

rCMS: Simulation of vectors in the maximum domain of attraction of an homogeneous clustered max-stable distribution

Description

Generates realisations of vectors in the maximum domain of attraction of an homogeneous clustered max-stable distribution.

Usage

rCMS(copulas,margins,classes,params,n=100)

Arguments

copulas

a vector of 'acopula' objects from package copula of length max(classes) giving the archimedean copulas for each class

margins

a vector of objects of 'margin' class of length max(classes) giving the marginal distributions for each class

classes

a vector of integers indicating for each component the number of its class (from 1 to max(classes))

params

a vector of length 2*max(classes), giving successively the parameters of the archimedean copula and of the marginal distribution for each class

n

an integer giving the number of observations

Details

a vector is generated as the product of two independent random variables: a unit Pareto random variable and a random vector whose components are independent sub-vectors with distributions (copula,margin).

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=1000)
data<-excess.censor(raw.data)