rmatrixgev

alpha

sigma

<p>Shape parameter: Default 0 which corresponds to the Gumbel case</p>

<p>Generates a sample of size <code>n</code> from an inhomogeneous phase-type distribution with parameters <code>alpha</code>, <code>S</code> and <code>beta</code></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:2011.03219>.

rmatrixgev: Random matrix GEV

Description

Usage

Arguments

Value