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) .