extremal | R Documentation |
Estimate extremal index using ‘intervals’ method
extremal(x, y = NULL)
x |
a logical vector or list of logical vectors |
y |
an integer vector the same length as |
Intervals estimator of extremal index based on Ferro and Segers (2003)'s moment-based estimator.
If x
is supplied and y
is not, x
is assumed to identify consecutive threshold exceedances.
If x
is supplied as a list, each list element is assumed to comprise identifiers of consecutive exceedances.
If y
is supplied, x
must be a logical vector, and y
gives positions of x
in
its original with-missing-values vector: so y
identifies consecutive x
.
A scalar estimate of the extremal index
Ferro, C. A., & Segers, J. (2003). Inference for clusters of extreme values. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 65(2), 545-556.
n <- 1e2 x <- runif(n) extremal(x > .9) y <- sort(sample(n, n - 5)) x2 <- x[y] extremal(x2 > .9, y)
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