paulnorthrop/exdex: Estimation of the Extremal Index

Performs frequentist inference for the extremal index of a stationary time series. Two types of methodology are used. One type is based on a model that relates the distribution of block maxima to the marginal distribution of series and leads to the semiparametric maxima estimators described in Northrop (2015) <doi:10.1007/s10687-015-0221-5> and Berghaus and Bucher (2018) <doi:10.1214/17-AOS1621>. Sliding block maxima are used to increase precision of estimation. The other type of methodology uses a model for the distribution of threshold inter-exceedance times (Ferro and Segers (2003) <doi:10.1111/1467-9868.00401>). Two versions of this type of approach are provided, following Suveges (2007) <doi:10.1007/s10687-007-0034-2> and Suveges and Davison (2010) <doi:10.1214/09-AOAS292>.

Getting started

Package details

LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
paulnorthrop/exdex documentation built on Nov. 14, 2020, 12:32 a.m.