threshplot: Plot of Theta against Quantile Level of threshold
In ConstantinosChr/exdex: Estimation of the Extremal Index

Description Usage Arguments Details Value References See Also Examples

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

1	threshplot(data, tmin, tmax, conf = 95, k = 1, ...)

`data`	A numeric vector of raw data. No missing values are allowed.
`tmin`	A numeric scalar. Minimum quantile level of threshold applied to data.
`tmax`	A numeric scalar. Maximum quantile level of threshold applied to data.
`conf`	A numeric scalar in (0,100). Confidence level required for the confidence intervals.
`k`	A numeric scalar. Run parameter K, as defined in Suveges and Davison (2010). Threshold inter-exceedances times that are not larger than `k` units are assigned to the same cluster, resulting in a K-gap equal to zero. Specifically, the K-gap S corresponding to an inter-exceedance time of T is given by S = max(T - K, 0).
`...`	Arguments to be passed to methods, such as

The maximum likelihood estimate of the extremal index θ under the K-gaps model of Suveges and Davison (2010) is calculated. The form of the log-likelihood is given in the Details section of kgaps_stats. The plot produced presents the movement of the extremal index θ along the quantile level of threshold indicated by the user. Confidence intervals are also presented on the graph. The confidence level can be chosen by the user, using the argument conf.

A list containing

theta_mle : The maximum likelihood estimate (MLE) of θ.
theta_se : The estimated standard error of the MLE.
theta_ci : (If conf is supplied) a numeric vector of length two giving lower and upper confidence limits for θ.
ss : The list of summary statistics returned from kgaps_stats.