R Under development (unstable) (2024-10-15 r87238 ucrt) -- "Unsuffered Consequences"
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> library(RTDE)
Loading required package: parallel
> 
> 
> #####
> # (1) small example
> 
> omega <- 1/2
> m <- 10
> n <- 100
> obs <- cbind(rupareto(n), rupareto(n)) + rupareto(n)
> 
> #unit Pareto transform
> z <- zvalueRTDE(obs, omega, nbpoint=m, output="relexcess")
> 
> MDPD(c(1/2, 1/4), dEPD, z$Z, alpha=0, rho=-1)
[1] 2.454411
> -sum(dEPD(z$Z, 1/2, 1/4, -1, log=TRUE))/m
[1] 2.454411
> 
> MDPD(c(1/2, 1/4), dEPD, z$Z, alpha=0.05, rho=-1)
[1] -17.82338
> -21*sum(dEPD(z$Z, 1/2, 1/4, -1)^(0.05))/m + integrate(function(x) dEPD(x, 1/2, 1/4, -1)^(1.05), lower=1, upper=Inf)$value
[1] -17.82338
> 
> 
> #some check
> dEPD(z$Z, 1/2, 1/4, -1)
 [1] 0.0275636051 0.4593991180 0.5942491086 1.9268932089 1.2234900633
 [6] 0.0009680649 0.3510817718 1.9268932089 0.0156619193 0.0001204092
> do.call(dEPD, c(list(z$Z), as.list(c(1/2, 1/4)), rho=-1))
 [1] 0.0275636051 0.4593991180 0.5942491086 1.9268932089 1.2234900633
 [6] 0.0009680649 0.3510817718 1.9268932089 0.0156619193 0.0001204092
> do.call(dEPD, c(list(z$Z), as.list(1/2), delta=1/4, rho=-1))
 [1] 0.0275636051 0.4593991180 0.5942491086 1.9268932089 1.2234900633
 [6] 0.0009680649 0.3510817718 1.9268932089 0.0156619193 0.0001204092
> 
> proc.time()
   user  system elapsed 
   0.15    0.14    0.26