ConstantinosChr/exdex: Estimation of the Extremal Index

Performs frequentist inference for the extremal index using the methodologies described in Suveges and Davison (2010) <doi:10.1214/09-AOAS292> and in Northrop (2015) <doi:10.1007/s10687-015-0221-5>. This is done in two ways, based on the two main forms of extreme value theory. One uses threshold inter-exceedance times based on the K-gaps model and the other one is based on block maxima.

install.packages("remotes")
remotes::install_github("ConstantinosChr/exdex")