exdex: 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) <doi:10.1007/s10687-015-0221-5> and Berghaus and Bucher (2018) <doi:10.1214/17-AOS1621>. 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) <doi:10.1111/1467-9868.00401>). Two versions of this type of approach are provided, following Suveges (2007) <doi:10.1007/s10687-007-0034-2> and Suveges and Davison (2010) <doi:10.1214/09-AOAS292>.

Package details

AuthorPaul J. Northrop [aut, cre, cph], Constantinos Christodoulides [aut, cph]
MaintainerPaul J. Northrop <p.northrop@ucl.ac.uk>
LicenseGPL (>= 2)
URL http://github.com/paulnorthrop/exdex
Package repositoryView on CRAN
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exdex documentation built on Aug. 6, 2019, 5:05 p.m.