Package dev.nm.stat.evt.markovchain
Class ExtremeValueMC
- java.lang.Object
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- dev.nm.stat.evt.markovchain.ExtremeValueMC
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- 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 isevd::evmc
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
ExtremeValueMC.MarginalDistributionType
Types of marginal distribution of each simulated value.
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Constructor Summary
Constructors Constructor Description 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 usesUniformRNG
for random number generation.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.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
nextDouble()
Get the next randomdouble
.void
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
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Constructor Detail
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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 usesUniformRNG
for random number generation.- Parameters:
bevd
- the dependence between two consecutive valuesmarginalType
- the type of the marginal distribution
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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 valuesmarginalType
- the type of the marginal distributionuniformRng
- the uniform random number generator
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Method Detail
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nextDouble
public double nextDouble()
Description copied from interface:RandomNumberGenerator
Get the next randomdouble
.- Specified by:
nextDouble
in interfaceRandomNumberGenerator
- Returns:
- the next random number
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