mgevcdf

alpha

sigma

lower_tail

Computes the cdf (tail) of a matrix GEV distribution with parameters <code>alpha</code>, <code>S</code> and <code>beta</code> at <code>x</code>

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>.

Martin Bladt

matrixdist

Statistics for Matrix Distributions

Jorge Yslas

mgevcdf function

<dl><dt>x</dt>
<dd>non-negative value</dd>
<dt>alpha</dt>
<dd>Initial probabilities</dd>
<dt>S</dt>
<dd>sub-intensity matrix</dd>
<dt>mu</dt>
<dd>location parameter</dd>
<dt>sigma</dt>
<dd>scale parameter</dd>
<dt>xi</dt>
<dd>shape parameter</dd>
<dt>lower_tail</dt>
<dd>cdf or tail</dd></dl>

Arguments

Matrix GEV cdf — mgevcdf

<dl>

<dt>x</dt>
<dd>non-negative value</dd>


<dt>alpha</dt>
<dd>Initial probabilities</dd>


<dt>S</dt>
<dd>sub-intensity matrix</dd>


<dt>mu</dt>
<dd>location parameter</dd>


<dt>sigma</dt>
<dd>scale parameter</dd>


<dt>xi</dt>
<dd>shape parameter</dd>


<dt>lower_tail</dt>
<dd>cdf or tail</dd>

</dl>

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mgevcdf: Matrix GEV cdf

Description

Usage

Value

Arguments