exi | R Documentation |
Estimates of the extremal index.
exi(data, u, r = 1, ulow = -Inf, rlow = 1)
data |
A numeric vector, which may contain missing values. |
u |
A single value giving the threshold, unless a time varying
threshold is used, in which case |
r |
Either a postive integer denoting the clustering interval length, or zero, in which case the intervals estimator of Ferro and Segers (2003) is used and following arguments are ignored. By default the interval length is one. |
ulow |
A single value giving the lower threshold, unless a time
varying lower threshold is used, in which case |
rlow |
A postive integer denoting the lower clustering interval length. By default the interval length is one. |
If r
is a positive integer the extremal index is estimated
using the inverse of the average cluster size, using the clusters
of exceedences derived from clusters
. If r
is
zero, an estimate based on inter-exceedance times is used (Ferro
and Segers, 2003).
If there are no exceedances of the threshold, the estimate is
NaN
. If there is only one exceedance, the estimate is
one.
A single value estimating the extremal index.
Ferro, C. A. T. and Segers, J. (2003) Inference for clusters of extreme values. JRSS B, 65, 545–556.
clusters
, exiplot
exi(portpirie, 4.2, r = 3, ulow = 3.8)
tvu <- c(rep(4.2, 20), rep(4.1, 25), rep(4.2, 20))
exi(portpirie, tvu, r = 1)
exi(portpirie, tvu, r = 0)
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