| exceedProbs {lgcp} | R Documentation |
exceedProbs function
Description
This function can be called using MonteCarloAverage (see fun3 the examples in the help file for
MonteCarloAverage). It computes exceedance probabilities,
P[\exp(Y_{t_1:t_2})>k],
that is the probability that the relative reisk exceeds threshold k. Note that it is possible
to pass vectors of tresholds to the function, and the exceedance probabilities will be computed for each
of these.
Usage
exceedProbs(threshold, direction = "upper")
Arguments
threshold |
vector of threshold levels for the indicator function |
direction |
default 'upper' giving exceedance probabilities, alternative is 'lower', which gives 'subordinate probabilities' |
Value
a function of Y that computes the indicator function I(exp(Y)>threshold) evaluated for each cell of a matrix Y If several tresholds are specified an array is returned with the [,,i]th slice equal to I(exp(Y)>threshold[i])