margtransf.class {ReturnCurves} | R Documentation |
An S4 class to represent the Marginal Transformation
Description
An S4 class to represent the Marginal Transformation
Usage
margtransf.class(data, qmarg, constrainedshape, parameters, thresh, dataexp)
Slots
data
A matrix containing the data on the original margins.
qmarg
A vector containing the marginal quantile used to fit the Generalised Pareto Distribution (GPD) for each variable. Default is
rep(0.95, 2)
.constrainedshape
Logical. If
TRUE
(Default), the estimated shape parameter of the Generalised Pareto Distribution (GPD) is constrained to strictly above-1
.parameters
A vector containing the scale and shape parameters of the Generalised Pareto Distribution (GPD).
thresh
A vector containing the threshold \(u\) above which the Generalised Pareto Distribution (GPD) is fitted.
dataexp
A matrix containing the data on standard exponential margins.
[Package ReturnCurves version 1.0.1 Index]