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lgcp (version 1.0)

exceedProbs: exceedProbs function...

Description

exceedProbs function

Usage

exceedProbs(threshold)

Arguments

threshold
vector of threshold levels for the indicator function

Value

  • a function of Y that computes the indicator function I(exp(Y)>threshold) evaluated for each cell of a matrix Y If several tresholds are specified an array is returned with the [,,i]th slice equal to I(exp(Y)>threshold[i])

Details

This function can be called using MonteCarloAverage (see fun3 the examples in the help file for MonteCarloAverage). It computes exceedance probabilities, $$P[\exp(Y_{t_1:t_2})>k],$$ that is the probability that the relative reisk exceeds threshold $k$. Note that it is possible to pass vectors of tresholds to the function, and the exceedance probabilities will be computed for each of these.

See Also

MonteCarloAverage, setoutput