exi: Estimates of the Extremal Index

Description Usage Arguments Details Value References See Also Examples

Description

Estimates of the extremal index.

Usage

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exi(data, u, r = 1, ulow = -Inf, rlow = 1)

Arguments

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 u should be a vector of thresholds, typically with the same length as data (or else the usual recycling rules are applied).

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 ulow should be a vector of lower thresholds, typically with the same length as data (or else the usual recycling rules are applied). By default there is no lower threshold (or equivalently, the lower threshold is -Inf).

rlow

A postive integer denoting the lower clustering interval length. By default the interval length is one.

Details

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.

Value

A single value estimating the extremal index.

References

Ferro, C. A. T. and Segers, J. (2003) Inference for clusters of extreme values. JRSS B, 65, 545–556.

See Also

clusters, exiplot

Examples

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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)

Example output

[1] 0.5384615
[1] 0.8
[1] 0.9402985

evd documentation built on May 1, 2019, 10:11 p.m.