.rsmithspec {mev} | R Documentation |
Generates from Q_i
, the spectral measure of the Smith model (moving maxima)
Description
Simulation algorithm of Dombry et al. (2015)
Usage
.rsmithspec(n, Sigma_chol, loc)
Arguments
n |
sample size |
Sigma_chol |
Cholesky decomposition of the |
loc |
location matrix |
Value
an n
by d
sample from the spectral distribution
References
Dombry, Engelke and Oesting (2016). Exact simulation of max-stable processes, Biometrika, 103(2), 303–317.
[Package mev version 1.17 Index]