mgevden

alpha

sigma

<p>Computes the density of a matrix GEV distribution with parameters <code>alpha</code>, <code>S</code> and <code>beta</code> at <code>x</code>
Dont allow for atoms in zero</p>

Tools for homogeneous and in-homogeneous phase-type distributions.
Methods for functional evaluation, simulation and estimation using the
expectation-maximization (EM) algorithm are provided.
The methods of this package are based on the following references.
Asmussen, S., Nerman, O., & Olsson, M. (1996) <https://www.jstor.org/stable/4616418>,
Olsson, M. (1996) <https://www.jstor.org/stable/4616419>.
Albrecher, H., & Bladt, M. (2019) <doi:10.1017/jpr.2019.60>
Albrecher, H., Bladt, M., & Yslas, J. (2020) <doi:10.1111/sjos.12505>
Bladt, M., & Yslas, J. (2020) <arXiv:abs/2011.03219>.

Data engineering and BI courses are free!

mgevden: Matrix GEV density

Description

Usage

Arguments

Value