Ferro: Ferro's Estimator of the Extremal Index

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

Description

estimates the extremal index with the Ferro's Estimator

Usage

Ferro(X, rho)

Arguments

X	a vector of numerical value.
rho	the empirical quantile level used to define the time series of excessess over threshold.

Value

return the estimate of the extremal index

References

Ferro, C. A. T., & Segers, J. (2002). Automatic declustering of extreme values via an estimator for the extremal index. (Report Eurandom; Vol. 2002025). Eurandom.

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)
Ferro(X, q)

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