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>.
| Version: | 1.0.1 |
| Depends: | R (≥ 3.3.0) |
| Imports: | chandwich, graphics, methods, Rcpp, RcppRoll, stats |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | knitr, revdbayes, rmarkdown, testthat, zoo (≥ 1.6.4) |
| Published: | 2019-08-06 |
| Author: | Paul J. Northrop [aut, cre, cph], Constantinos Christodoulides [aut, cph] |
| Maintainer: | Paul J. Northrop <p.northrop at ucl.ac.uk> |
| BugReports: | http://github.com/paulnorthrop/exdex/issues |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | http://github.com/paulnorthrop/exdex |
| NeedsCompilation: | yes |
| Materials: | README NEWS |
| CRAN checks: | exdex results |
| Reference manual: | exdex.pdf |
| Vignettes: |
Introducing exdex: Estimation of the Extremal Index |
| Package source: | exdex_1.0.1.tar.gz |
| Windows binaries: | r-devel: exdex_1.0.1.zip, r-release: exdex_1.0.1.zip, r-oldrel: exdex_1.0.1.zip |
| macOS binaries: | r-release: exdex_1.0.1.tgz, r-oldrel: exdex_1.0.1.tgz |
| Old sources: | exdex archive |
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