ev.trawl (version 0.1.0)

rlexceed: Simulation of extreme value path using latent trawl process. Transformed marginals have scale parameter 1+kappa.

Description

Simulation of extreme value path using latent trawl process. Transformed marginals have scale parameter 1+kappa.

Usage

rlexceed(alpha, beta, kappa, rho = NA, times, marg.dist, n,
  transformation, trawl.function = NA, trawl.fs = NA,
  trawl.fs.prim = NA, n_moments = 4, deep_cols = 30)

Arguments

alpha

Shape parameter.

beta

Scale parameter.

kappa

Additive constant to scale parameter beta.

rho

Trawl parameters. Must be positive if Exponential trawls are used.

times

Vectors of discret times.

marg.dist

Name of infinitely divisible distribution for latent trawls. Currenlty implemented: gamma, gaussian, generalised hyperbolic, generalised inverse gaussian.

n

Number of simulations (so far, only n=1 is implemented).

transformation

Boolean to apply marginal transform method. Default is False (F).

trawl.function

Type of trawl function that should be used. Default NA.

trawl.fs

collection of trawl functions indexed on times.

trawl.fs.prim

collection of trawl functions primitives indexed on times.

n_moments

Number of finite moments for transformed marginals.

deep_cols

Depth of reconstruction (columns). Default is 30.

Value

Simulated path (size the same as times) of latent-trawl extreme value process.

Examples

# NOT RUN {
alpha <- 3
beta <- 2
kappa <- 0.95
rho <- 0.2
n.timestamps <- 200
times <- 1:n.timestamps

marg.dist <- "gamma"
n <- 1
transformation <- FALSE
trawl.function <- "exp"

rlexceed(alpha = alpha, beta = beta, kappa = kappa, rho = rho, times = times,
         marg.dist = marg.dist, n = n, transformation = transformation,
         trawl.function= trawl.function)

# }