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)
.