Package dev.nm.stat.evt.markovchain

Class ExtremeValueMC

java.lang.Object

dev.nm.stat.evt.markovchain.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.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static enum	ExtremeValueMC.MarginalDistributionType	Types of marginal distribution of each simulated value.

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 uses UniformRNG 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.

Method Summary

Modifier and Type	Method	Description
double	nextDouble()	Get the next random double.
void	seed(long... seeds)	Seed the random number/vector/scenario generator to produce repeatable experiments.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

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 Details

nextDouble

public double nextDouble()

Description copied from interface: RandomNumberGenerator

Get the next random double.

Specified by:

nextDouble in interface RandomNumberGenerator

Returns:

the next random number

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