NEWS.md

In exdex: Estimation of the Extremal Index

exdex 1.2.2

Bug fixes and minor improvements

• If the argument k = 0 is supplied to kgaps() then an estimate of 1 is returned for the extremal index for any input data. For this very special case the estimated standard error associated with this estimate is set to zero and confidence intervals have a width of zero.

• Corrected a typing error in the description of uprob in the documentation for plot.choose_uk() and plot.choose_ud().

• The unnecessary C++11 specification has been dropped to avoid a CRAN Package Check NOTE.

• README.md: Used app.codecov.io as base for codecov link.

• Create the help file for the package correctly, with alias exdex-package.

exdex 1.2.1

New features

• A new estimator has been implemented, based on what we will call the D-gaps model of Holesovsky, J. and Fusek, M. Estimation of the extremal index using censored distributions. Extremes 23, 197–213 (2020). doi: 10.1007/s10687-020-00374-3

Bug fixes and minor improvements

• The value returned by nobs.kgaps() was incorrect in cases where there are censored K-gaps that are equal to zero. These K-gaps should not contribute to the number of observations. This has been corrected.

• In cases where the data used in kgaps are split into separate sequences, the threshold exceedance probability is estimated using all the data rather than locally within each sequence.

• A logLik method for objects inheriting from class "kgaps" has been added.

• In the (unexported, internal) function kgaps_conf_int() the limits of the confidence intervals for the extremal index based on the K-gaps model are constrained manually to (0, 1) to avoid problems in calculating likelihood-based confidence intervals in cases where the the log-likelihood is greater than the interval cutoff when theta = 1.

• In the documentation of the argument k to kgaps() it is noted that in practice k should be no smaller than 1.

• The function kgaps() also return standard errors based on the expected information.

• In the package manual related functions have been arranged in sections for easier reading.

• Activated 3rd edition of the testthat package

exdex 1.1.1

New features

• The functions kgaps(), kgaps_imt() and choose_uk() can now accept a data argument that
  • is a matrix of independent subsets of data, such as monthly or seasonal time series from different years,
  • contains missing values, that is, NAs.
• A new dataset cheeseboro is included, which is a matrix containing some missing values.
• In addition to kgaps(), the functions kgaps_imt() and choose_uk() now have an extra argument inc_cens, which allows contributions from censored K-gaps to be included in the log-likelihood for the extremal index.
• The default value of inc_cens in kgaps() (and in kgaps_imt() and choose_uk()) is now inc_cens = TRUE.

Bug fixes and minor improvements

• Plot and print methods have been added for objects of class "confint_gaps" returned from confint.kgaps().
• In confint.spm() and confint.kgaps() the input confidence level is included in the output object.

exdex 1.0.1

Bug fixes and minor improvements

• An overloading ambiguity has been corrected to ensure installation on Solaris.

exdex documentation built on Sept. 10, 2023, 5:06 p.m.