r_extr_mod {ExtremalDep} R Documentation

## Random sample generation from extremal dependence models

### Description

Generates random samples of iid observations from the Extremal-$t$ and Extremal Skew-$t$ models.

### Usage

	r_extr_mod(model, n, param)


### Arguments

 model A string with the name of the model: "Extremalt" or "Skewt". n An integer indicating the number of numbers to be generated. param A vector containing the parameters of the model. See Details.

### 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.

### Value

Returns a matrix with dim columns and n columns.

### References

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.

### Examples

### Extremal-t

if (interactive()){
## Bivariate
r_extr_mod("Extremalt", n=5, par=c(0.5,2))
}

if (interactive()){
## Trivariate
r_extr_mod("Extremalt", n=5, par=c(0.5,0.6,0.4,2))
}

### Extremal Skew-t

if (interactive()){
## Bivariate
r_extr_mod("Skewt", n=5, par=c(0.5,-1,1,2))
}

if (interactive()){
## Trivariate
r_extr_mod("Skewt", n=5, par=c(0.5,0.6,0.4,-2,-2,5,2))
}



[Package ExtremalDep version 0.0.3-5 Index]