exdex: exdex: Estimation of the Extremal Index

In ConstantinosChr/exdex: Estimation of the Extremal Index

Description

Performs frequentist inference for the extremal index using the methodologies described in Suveges and Davison (2010) http://dx.doi.org/10.1214/09-AOAS292 and in Northrop (2015) http://dx.doi.org/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.

Details

The main functions in the exdex package are kgaps_mle and spm_mle which are used to estimate the extremal index θ. The user chooses the extreme value model and provides the data. Additionally, the user for the K-gaps model chooses an extreme value threshold thresh that is applied to data, whereas for the block maxima method he chooses b, the block size.

See vignette("exdex-vignette", package = "exdex") for an overview of the package.

References

Suveges, M. and Davison, A. C. (2010) Model misspecification in peaks over threshold analysis, The Annals of Applied Statistics, 4(1), 203-221. http://dx.doi.org/10.1214/09-AOAS292

Attalides, N. (2015) Threshold-based extreme value modelling, PhD thesis, University College London. http://discovery.ucl.ac.uk/1471121/1/Nicolas_Attalides_Thesis.pdf

See Also

kgaps_mle to calculate the maximum likelihood estimates of the extremal index θ based on the K-gaps model for threshold inter-exceedances times of Suveges and Davison (2010).

spm_mle to calculate the semiparametric maxima estimator of the extremal index θ based on sliding or disjoint block maxima based on Northrop (2015).

ConstantinosChr/exdex documentation built on May 14, 2019, 4:16 p.m.