exindex: Estimate Extremal Index

In evir: Extreme Values in R

Description

Plot estimates of extremal index using the blocks method.

Usage

exindex(data, block, start = 5, end = NA, reverse = FALSE,
    auto.scale = TRUE, labels = TRUE, ...)

Arguments

data	data vector (raw values not block maxima).
block	the block size. A numeric value is interpreted as the number of data values in each successive block. All the data is used, so the last block may not contain block observations. If the data has a times attribute containing (in an object of class "POSIXct", or an object that can be converted to that class; see as.POSIXct) the times/dates of each observation, then block may instead take the character values "month", "quarter", "semester" or "year".
start	lowest value of K at which to plot a point; K is the number of blocks in which a specified threshold is exceeded
end	highest value of K at which to plot a point
reverse	whether plot is to be by increasing threshold (TRUE) or increasing K value (FALSE)
auto.scale	whether or not plot should be automatically scaled; if not, xlim and ylim graphical parameters may be entered
labels	whether or not axes should be labelled
...	other graphics parameters

Value

A table of results is returned invisibly.

References

Embrechts, P., Klueppelberg, C., Mikosch, T. (1997). Modelling Extremal Events. Springer. Chapter 8, 413-429.

See Also

gev, hill, as.POSIXct

Examples

## Not run: data(bmw)
## Not run: exindex(bmw, 100) 
## Not run: exindex(-bmw, 100) 
# calculate extremal index for the right and left tails of the BMW 
# log returns 

evir documentation built on May 2, 2019, 6:11 p.m.