Class ExtremeValueMC

  • All Implemented Interfaces:
    RandomNumberGenerator, Seedable

    public class ExtremeValueMC
    extends Object
    implements RandomNumberGenerator
    Simulation of first order extreme value Markov chains such that each pair of consecutive values has the dependence structure of given bivariate extreme value distributions.

    The R equivalent function is evd::evmc.

    • Constructor Detail

      • ExtremeValueMC

        public ExtremeValueMC​(BivariateEVD bevd,
                              ExtremeValueMC.MarginalDistributionType marginalType)
        Create an instance with a given bivariate distribution that defines the dependence structure between two consecutive simulated values, and uses UniformRNG for random number generation.
        Parameters:
        bevd - the dependence between two consecutive values
        marginalType - the type of the marginal distribution
      • ExtremeValueMC

        public ExtremeValueMC​(BivariateEVD bivariate,
                              ExtremeValueMC.MarginalDistributionType marginalType,
                              RandomNumberGenerator uniformRng)
        Create an instance with a given bivariate distribution that defines the dependence structure between two consecutive simulated values, and a uniform random number generator.
        Parameters:
        bivariate - the dependence between two consecutive values
        marginalType - the type of the marginal distribution
        uniformRng - the uniform random number generator
    • Method Detail

      • seed

        public void seed​(long... seeds)
        Description copied from interface: Seedable
        Seed the random number/vector/scenario generator to produce repeatable experiments.
        Specified by:
        seed in interface Seedable
        Parameters:
        seeds - the seeds