Package: exdex
Type: Package
Title: Estimation of the Extremal Index
Version: 1.0.1
Date: 2019-08-06
Authors@R: c(
    person(c("Paul", "J."), "Northrop", email = "p.northrop@ucl.ac.uk", 
      role = c("aut", "cre", "cph")),
    person("Constantinos", "Christodoulides", role = c("aut", "cph"))
    )
Description: 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>.
Imports: chandwich, graphics, methods, Rcpp, RcppRoll, stats
License: GPL (>= 2)
Depends: R (>= 3.3.0)
Suggests: knitr, revdbayes, rmarkdown, testthat, zoo (>= 1.6.4)
LazyData: true
Encoding: UTF-8
RoxygenNote: 6.1.1
VignetteBuilder: knitr
URL: http://github.com/paulnorthrop/exdex
BugReports: http://github.com/paulnorthrop/exdex/issues
LinkingTo: Rcpp, RcppArmadillo
NeedsCompilation: yes
Packaged: 2019-08-06 12:55:50 UTC; paul
Author: Paul J. Northrop [aut, cre, cph],
  Constantinos Christodoulides [aut, cph]
Maintainer: Paul J. Northrop <p.northrop@ucl.ac.uk>
Repository: CRAN
Date/Publication: 2019-08-06 14:20:02 UTC
Built: R 4.0.2; x86_64-w64-mingw32; 2020-08-02 08:49:57 UTC; windows
Archs: i386, x64
