rExtremalStudentParetoProcess {mvPot} | R Documentation |
Simulation of extremal Student generalized Pareto vectors
Description
Simulation of Pareto processes associated to the max functional. The algorithm is described in section 4 of Thibaud and Opitz (2015).
The Cholesky decomposition of the matrix Sigma
leads to samples on the unit sphere with respect to the Mahalanobis distance.
An accept-reject algorithm is then used to simulate
samples from the Pareto process. If normalize = TRUE
,
the vector is scaled by the exponent measure \kappa
so that the maximum of the sample is greater than \kappa
.
Usage
rExtremalStudentParetoProcess(
n,
Sigma,
nu,
normalize = FALSE,
matchol = NULL,
trunc = TRUE
)
Arguments
n |
sample size |
Sigma |
a |
nu |
degrees of freedom parameter |
normalize |
logical; should unit Pareto samples above |
matchol |
Cholesky matrix |
trunc |
logical; should negative components be truncated at zero? Default to |
Value
an n
by d
matrix of samples, with attributes
"accept.rate"
indicating
the fraction of samples accepted.
Note
If \nu>2
, an accept-reject algorithm using simulations from the angular measure on the
l_1
is at least twice as efficient. The relative efficiency of the latter is much larger for larger \nu
.
This algorithm should therefore not be used in high dimensions as its acceptance rate
is several orders of magnitude smaller than that implemented in rparp.
Author(s)
Emeric Thibaud, Leo Belzile
References
Thibaud, E. and T. Opitz (2015). Efficient inference and simulation for elliptical Pareto processes. Biometrika, 102(4), 855-870.
See Also
Examples
loc <- expand.grid(1:4, 1:4)
Sigma <- exp(-as.matrix(dist(loc))^1.5)
rExtremalStudentParetoProcess(100, Sigma, nu = 2)