Estimation of the Extremal Index

Performs frequentist inference for the extremal index of a stationary time series. Two types of methodology are used. One type is based on a model that relates the distribution of block maxima to the marginal distribution of series and leads to the semiparametric maxima estimators described in Northrop (2015) and Berghaus and Bucher (2018) . Sliding block maxima are used to increase precision of estimation. The other type of methodology uses a model for the distribution of threshold inter-exceedance times (Ferro and Segers (2003) ). Two versions of this type of approach are provided, following Suveges (2007) and Suveges and Davison (2010) .


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("exdex")

1.0.1 by Paul J. Northrop, 18 days ago


http://github.com/paulnorthrop/exdex


Report a bug at http://github.com/paulnorthrop/exdex/issues


Browse source code at https://github.com/cran/exdex


Authors: Paul J. Northrop [aut, cre, cph] , Constantinos Christodoulides [aut, cph]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports chandwich, graphics, methods, Rcpp, RcppRoll, stats

Suggests knitr, revdbayes, rmarkdown, testthat, zoo

Linking to Rcpp, RcppArmadillo


See at CRAN