Caby: Caby's Estimator of the Extremal Index

In thaos/dtheta: What the Package Does (One Line, Title Case)

Description

estimates the extremal index with the Sueveges's Estimator

Usage

Caby(X, rho, m)

Arguments

X	a vector of numerical value.
rho	the empirical quantile level used to define the time series of excessess over threshold.
m	an interger denoting the order of the estimator

Value

return the estimate of the extremal index

References

https://tel.archives-ouvertes.fr/tel-02473235v1

Examples

n <- 1000
q <- 0.99
ar1 <- 0.5
X <- arima.sim(list(order=c(1,0,0), ar=ar1), n=n)*sqrt(1-ar1^2)
Caby(X, q, 9)

thaos/dtheta documentation built on Jan. 7, 2021, 6:26 p.m.