choose_b: Block length diagnostic for the semiparametric maxima...

In exdex: Estimation of the Extremal Index

Block length diagnostic for the semiparametric maxima estimator

Description

Creates data for a plot to aid the choice of the block length b to supply to spm. The general idea is to select the smallest value of b above which estimates of the extremal index \theta appear to be constant with respect to b, taking into account sampling variability. plot.choose_b creates the plot.

Usage

choose_b(
  data,
  b,
  bias_adjust = c("BB3", "BB1", "N", "none"),
  constrain = TRUE,
  varN = TRUE,
  level = 0.95,
  interval_type = c("norm", "lik"),
  conf_scale = c("theta", "log"),
  type = c("vertical", "cholesky", "spectral", "none")
)

Arguments

data	A numeric vector of raw data. No missing values are allowed.
b	A numeric scalar. The block size.
bias_adjust	A character scalar. Is bias-adjustment of the raw estimate of \theta performed using the bias-reduced estimator (bias_adjust = "BB3"), derived in Section 5 of Berghaus and Bucher (2018); or a simpler version (bias_adjust = "BB1"), in which the raw estimate is multiplied by (k-1) / k, where k is the number of blocks; or the bias-adjustment of the empirical distribution function used to calculate the estimate, as detailed in Section 2 of Northrop (2015). When disjoint maxima are used bias_adjust = "BB1" and bias_adjust = "N" give identical estimates of the Berghaus and Bucher (2018) variant, as explained at the end of Section 5 of Berghaus and Bucher (2018). If bias_adjust = "none" then no bias-adjustment is performed.
constrain	A logical scalar. If constrain = TRUE then any estimates that are greater than 1 are set to 1, that is, they are constrained to lie in (0, 1]. This is carried out after any bias-adjustment. Otherwise, estimates that are greater than 1 may be obtained.
varN	A logical scalar. If varN = TRUE then the estimation of the sampling variance of the Northrop (2015) estimator is tailored to that estimator. Otherwise, the sampling variance derived in Berghaus and Bucher (2018) is used. See Details for further information.
level	A numeric scalar in (0, 1). The confidence level required.
interval_type	A character scalar: "norm" for intervals of type (a), "lik" for intervals of type (b).
conf_scale	A character scalar. If interval_type = "norm" then conf_scale determines the scale on which we use approximate large-sample normality of the estimators to estimate confidence intervals of type (a). If conf_scale = "theta" then confidence intervals are estimated for \theta directly. If conf_scale = "log" then confidence intervals are first estimated for \log\theta and then transformed back to the \theta-scale. Any bias-adjustment requested in the original call to spm, using it's bias_adjust argument, is automatically applied here.
type	A character scalar. The argument type to be passed to conf_intervals in the chandwich package in order to estimate the likelihood-based intervals. Using type = "none" is not advised because then the intervals are based on naive estimated standard errors. In particular, if (the default) sliding = TRUE was used in the call to spm then the unadjusted likelihood-based confidence intervals provide vast underestimates of uncertainty.

Details

For each block size in b the extremal index \theta is estimated using spm. The estimates of \theta approximate conf% confidence intervals for \theta are stored for plotting (by plot.choose_b) to produce a simple graphical diagnostic to inform the choice of block size. This plot is used to choose a block size above which the underlying value of \theta may be approximately constant. This is akin to a threshold stability plot: see Chapter 4 of Coles (2001), for example.

The nature of the calculation of the sampling variances of the estimates of \theta (see spm for details) means that choose_b may be a little slow to run if b contains many values, particularly if some of them are small.

For very small block sizes it may not be possible to estimate the confidence intervals. See Details in spm. For any such block sizes the intervals will be missing from the plot.

Value

An object of class c("choose_b", "exdex") containing

theta_sl, theta_dj	numeric b by 3 matrices of estimates of \theta using sliding and disjoint blocks. Columns 1-3 relate to the estimators N2015, BB2018 and BB2018b.
lower_sl, lower_dj	Similarly for the lower limits of the confidence intervals.
upper_sl, upper_dj	Similarly for the upper limits of the confidence intervals.
b	the input b
call	the call to choose_b.

References

Coles, S. G. (2001) An Introduction to Statistical Modeling of Extreme Values, Springer-Verlag, London. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1007/978-1-4471-3675-0_3")}

Northrop, P. J. (2015) An efficient semiparametric maxima estimator of the extremal index. Extremes 18(4), 585-603. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1007/s10687-015-0221-5")}

Berghaus, B., Bucher, A. (2018) Weak convergence of a pseudo maximum likelihood estimator for the extremal index. Ann. Statist. 46(5), 2307-2335. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1214/17-AOS1621")}

See Also

plot.choose_b to produce the block length diagnostic plot.

Examples

# Newlyn seas surges
# Plot like the top left of Northrop (2015)
# Remove the last 14 values because 2880 has lots of factors
b_vals <- c(2,3,4,5,6,8,9,10,12,15,16,18,20,24,30,32,36,40,45,48,54,60)
res <- choose_b(newlyn[1:2880], b_vals)
# Some b are too small for the sampling variance of the sliding blocks
# estimator to be estimated
plot(res)
plot(res, estimator = "BB2018")
plot(res, maxima = "disjoint")

# S&P 500 index: similar to Berghaus and Bucher (2018), Fig 4 top left
b_vals <- c(10, seq(from = 25, to = 350, by = 25), 357)
res500 <- choose_b(sp500, b_vals)
plot(res500, ylim = c(0, 1))
plot(res500, estimator = "BB2018", ylim = c(0, 1))

exdex documentation built on May 29, 2024, 2:15 a.m.