evmc                   package:evd                   R Documentation

_S_i_m_u_l_a_t_e _M_a_r_k_o_v _C_h_a_i_n_s _W_i_t_h _E_x_t_r_e_m_e _V_a_l_u_e
_D_e_p_e_n_d_e_n_c_e _S_t_r_u_c_t_u_r_e_s

_D_e_s_c_r_i_p_t_i_o_n:

     Simulation of first order Markov chains, such that each pair of
     consecutive values has the dependence structure of one of eight
     parametric bivariate extreme value distributions.

_U_s_a_g_e:

     evmc(n, dep, asy = c(1,1), alpha, beta, model = "log",
         margins = "uniform")

_A_r_g_u_m_e_n_t_s:

       n: Number of observations.

     dep: Dependence parameter for the logistic, asymmetric logistic,
          Husler-Reiss, negative logistic and asymmetric negative
          logistic models.

     asy: A vector of length two, containing the two asymmetry
          parameters for the asymmetric logistic and asymmetric
          negative logistic models.

alpha, beta: Alpha and beta parameters for the bilogistic, negative
          bilogistic and Coles-Tawn models.

   model: The specified model; a character string. Must be either
          '"log"' (the default), '"alog"', '"hr"', '"neglog"',
          '"aneglog"', '"bilog"', '"negbilog"' or '"ct"' (or any unique
          partial match), for the logistic, asymmetric logistic,
          Husler-Reiss, negative logistic, asymmetric negative
          logistic, bilogistic, negative bilogistic and Coles-Tawn
          models respectively. The definition of each model is given in
          'rbvevd'. If parameter arguments are given that do not
          correspond to the specified model those arguments are
          ignored, with a warning.

 margins: The marginal distribution of each value; a character string.
          Must be either '"uniform"' (the default), '"exponential"',
          '"frechet"' or '"gumbel"' (or any unique partial match), for
          the uniform, standard exponential, standard Gumbel and
          standard Frechet distributions respectively.

_V_a_l_u_e:

     A numeric vector of length 'n'.

_S_e_e _A_l_s_o:

     'marma', 'rbvevd'

_E_x_a_m_p_l_e_s:

     evmc(100, alpha = 0.1, beta = 0.1, model = "bilog")
     evmc(100, dep = 10, model = "hr", margins = "exp")

