r_extr_mod {ExtremalDep} | R Documentation |
Generates random samples of iid observations from the Extremal-$t$ and Extremal Skew-$t$ models.
r_extr_mod(model, n, param)
model |
A string with the name of the model: |
n |
An integer indicating the number of numbers to be generated. |
param |
A vector containing the parameters of the model. See Details. |
If model="Extremalt"
then the parameter vector is made of a dependence parameter vector of size choose(dim,2) and a degree of freedom.
If model="Skewt"
then the parameter vector is made of a dependence parameter vector of size choose(dim,2), a vector of shape (or skewness) parameters of size dim and a degree of freedom.
Returns a matrix with dim columns and n columns.
Simone Padoan, simone.padoan@unibocconi.it, http://faculty.unibocconi.it/simonepadoan; Boris Beranger, borisberanger@gmail.com http://www.borisberanger.com;
Beranger, B., Padoan, S. A. and Sisson, S. A. (2017). Models for extremal dependence derived from skew-symmetric families. Scandinavian Journal of Statistics, 44(1), 21-45.
### Extremal-t ## Bivariate r_extr_mod("Extremalt", n=5, par=c(0.5,2)) ## Trivariate r_extr_mod("Extremalt", n=5, par=c(0.5,0.6,0.4,2)) ### Extremal Skew-t ## Bivariate r_extr_mod("Skewt", n=5, par=c(0.5,-1,1,2)) ## Trivariate r_extr_mod("Skewt", n=5, par=c(0.5,0.6,0.4,-2,-2,5,2))