rmatrixgev {matrixdist}

Random matrix GEV

Description

Generates a sample of size n from an inhomogeneous phase-type distribution with parameters alpha, S and beta.

Usage

rmatrixgev(n, alpha, S, mu, sigma, xi = 0)

Arguments

n

Sample size.

alpha

Initial probabilities.

S

Sub-intensity matrix.

mu

Location parameter.

sigma

Scale parameter.

xi

Shape parameter: Default 0 which corresponds to the Gumbel case.

Value

The simulated sample.