sliding_maxima: Sliding block maxima

In ConstantinosChr/exdex: Estimation of the Extremal Index

Description

Calculates the maxima of all blocks of b contiguous values in the vector x.

Usage

sliding_maxima(x, b = 1)

Arguments

x	A numeric vector of raw observations.
b	A numeric scalar. The block size.

Details

The function rollapply in the zoo package is used with argument FUN = max to calculate sliding (rolling) maxima. na.rm = TRUE is passed to max so that blocks containing missing values produce a non-missing result.

sliding_maxima is used within spm_mle to perform semiparametric estimation of the extremal index based on block maxima.

Value

A list containing

• y : a numeric vector of the sliding block maxima.

• x : the input x, included for consistency with the output from disjoint_maxima.

See Also

spm_mle for semiparametric estimation of the extremal index based on block maxima.

disjoint_maxima for the calculation of the maxima over disjoint blocks.

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