CollectionTrawl |
Creates a list of trawl functions given a type of trawl and a vector of times as peak times. Has the option to get primitives. Note that only exponential trawl are implemented so far. |
ComputeAExp |
Wrapper to compute total area under exponential trawl function. |
ComputeB1Exp |
Wrapper to compute difference area between 't2' and 't1' under exponential trawl function. |
ComputeB3Exp |
Wrapper to compute difference area between 't1' and 't2' under exponential trawl function. |
ComputeBInterExp |
Wrapper to compute intersection area between 't1' and 't2' under exponential trawl function. |
DiffVal |
Centered differentiation calculation. |
dlgpd |
Computes the probability density function of Generalised Pareto Distribution at x, with shape parameter alpha and scale parameter beta. |
EvaluateF |
Evalutae function at given parameters. |
FullPL |
Computes latent trawl FULL pairwise likelihood depending with exponential trawl function. |
GammaBox |
Sample Gamma with small shape parameter 'alpha*dx*dy'. |
GammaSqBox |
Wrapper for GammaBox using a square to multiply the shape parameter. |
GenerateParameters |
Computes initial guess for Univariate Latent-Trawl model. Uses 'fExtreme' package method 'gpdFit' to fit MLE. |
GetEstimateRho |
Computes first-order estimate for 'rho'. |
GPDFit |
Generalised Pareto likelihood maximisation using L-BFGS-B optimisation routine. |
GradF |
Computes gradident of a function given parameters and offset value epsilon. |
HessianF |
Computes Hessian matrix of a $C^2$ function given parameters and offset value epsilon |
hourly_bloomsbury_air_pollution_2000_2017 |
Hourly measurements of 6 air pollutant concentrations in Bloomsbury, London, UK. |
MarginalGPDLikelihood |
Computes Generalised Pareto (log-)likelihood on non-zero exceedances under independence. |
MarginalSimpleLik |
Simplified marginal (GPD) log-likelihood function under independence in the exponential trawl case. |
MoMGPD |
Method of moments (MoM) on a one or multiple exceedance timeseries for the latent trawl model using marginal GPD properties and probability of exceedance. |
PairwiseOneOne |
Computes latent trawl pairwise likelihood with '(x,x)' where 'x' and 'y' positive with exponential trawl function. |
PairwiseOneOne1 |
Computes first term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive. |
PairwiseOneOne11 |
Computes frst part of first term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive. |
PairwiseOneOne12 |
Computes second part of first term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive. |
PairwiseOneOne13 |
Computes third part of first term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive. |
PairwiseOneOne2 |
Computes second term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive. |
PairwiseOneOne21 |
Computes second term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive. |
PairwiseOneOne22 |
Computes second term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive. |
PairwiseOneOne23 |
Computes second term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive. |
PairwiseOneOne24 |
Computes second term in latent trawl pairwise likelihood with '(x,x)' where 'x' positive and 'y' positive. |
PairwiseOneZero |
Computes term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive with exponential trawl function. |
PairwiseOneZero1 |
Computes first part of latent trawl pairwise likelihood with '(x,0)' where 'x' positive. |
PairwiseOneZero2 |
Computes second term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive. |
PairwiseOneZero21 |
Computes partial part of second term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive. |
PairwiseOneZero22 |
Computes partial part of second term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive. |
PairwiseOneZero23 |
Computes partial part of second term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive. |
PairwiseOneZero24 |
Computes partial part of second term in latent trawl pairwise likelihood with '(x,0)' where 'x' positive. |
PairwiseZeroZero |
Computes latent trawl pairwise likelihood with '(x,y) = (0,0)' for Exponential Trawl funciton. |
PairwiseZeroZero1 |
Computes partial part of latent trawl pairwise likelihood with '(x,y) = (0,0)'. |
PairwiseZeroZero2 |
Computes second part of latent trawl pairwise likelihood with '(x,y) = (0,0)'. |
ParamsListFullPL |
Wrapper for FullPL using a list for parameters in the exponential trawl case. |
plgpd |
Computes the cumulative distribution function of Generalised Pareto Distribution at x, with shape parameter alpha and scale parameter beta. |
rlexceed |
Simulation of extreme value path using latent trawl process. Transformed marginals have scale parameter '1+kappa'. |
rtrawl |
Simulation of trawl process path using Slice partition. If using customised trawl functions and primitives (i.e. 'trawl.function = NA'), then, it is required that the user provides 'length(times) + deep_cols' such functions and primitives where the 'deep_cols' first one are used to reconstuct the first trawl value. |
SecondOrderDiffVal |
Second-order centered differentiation calculation. |
SecondOrderMixedDiffVal |
Second-order bivariate differentiation calculation. |
SinglePairPL |
Computes correct latent trawl SINGLE pairwise likelihood depending on the values of '(x1,x2)' with exponential trawl function. |
SliceArea |
Computes the area of a slice for the Slice Partition method of trawl functions. |
TrawlExp |
Returns an exponential trawl function with base time t. |
TrawlExpPrimitive |
Returns a primitive of exponential trawl function with base time t. Such primitive has its zero at 'zero_at'. |
TrawlSliceReconstruct |
Performs trawl slices reconstuction to get gamma samples using the independent measure scaterring. |
TrfFindOffsetScale |
Computes predefined transformed scale parameter. |
TrfG |
Computes g from the marginal transform method (vectorised version). That is from GPD(alpha, beta+kappa) to GPD(offset_shape, offset_scale). |
TrfInverseG |
Computes inverse of g from the marginal transform method (vectorised version). That is from GPD(offset_shape, offset_scale) to GPD(alpha, beta+kappa). |
TrfJacobian |
Computes determinant of Jacobian of Marginal Transform (MT) method. |
UnivariateFullPL |
Computes univariate latent trawl FULL pairwise likelihood depending with exponential trawl function with the option to fix some parameter values. |
Zeta |
Zeta function from auto-correlation expansion for small lags. |