Package index • exdex

Package

exdex exdex-package: exdex: Estimation of the Extremal Index

Inference for the extremal index

dgaps(): Maximum likelihood estimation using left-censored inter-exceedances times

dgaps_stat(): Sufficient statistics for the left-censored inter-exceedances time model

dgaps_imt(): Information matrix test under the \(D\)-gaps model

dgaps_imt_stat(): Statistics for the \(D\)-gaps information matrix test

kgaps(): Maximum likelihood estimation for the \(K\)-gaps model

kgaps_stat(): Sufficient statistics for the \(K\)-gaps model

kgaps_imt(): Information matrix test under the \(K\)-gaps model

kgaps_imt_stat(): Statistics for the information matrix test

iwls(): Iterated weighted least squares estimation of the extremal index

spm(): Semiparametric maxima estimator of the extremal index

Choosing tuning parameters

choose_b(): Block length diagnostic for the semiparametric maxima estimator

choose_ud(): Threshold \(u\) and runs parameter \(D\) diagnostic for the \(D\)-gaps estimator

choose_uk(): Threshold \(u\) and runs parameter \(K\) diagnostic for the \(K\)-gaps estimator

Calculating block maxima

all_max_rcpp(): Sliding and disjoint block maxima

Example data

cheeseboro: Cheeseboro hourly maximum wind gusts

newlyn: Newlyn sea surges

sp500: Daily log returns of the Standard and Poor (S&P) 500 index

uccle: Uccle maximum daily temperatures

uccle720: 20th century Uccle maximum daily temperatures in July - data frame

uccle720m: 20th century Uccle maximum daily temperatures in July - matrix

Data manipulation

split_by_NAs(): Divides data into parts that contain no missing values

Generics

coef(<dgaps>) vcov(<dgaps>) nobs(<dgaps>) logLik(<dgaps>) print(<dgaps>) summary(<dgaps>) print(<summary.dgaps>): Methods for objects of class "dgaps"

coef(<iwls>) nobs(<iwls>) print(<iwls>): Methods for objects of class "iwls"

coef(<kgaps>) vcov(<kgaps>) nobs(<kgaps>) logLik(<kgaps>) print(<kgaps>) summary(<kgaps>) print(<summary.kgaps>): Methods for objects of class "kgaps"

coef(<spm>) vcov(<spm>) nobs(<spm>) print(<spm>) summary(<spm>) print(<summary.spm>): Methods for objects of class "spm"

confint(<dgaps>) plot(<confint_dgaps>) print(<confint_dgaps>): Confidence intervals for the extremal index \(\theta\) for "dgaps" objects

confint(<kgaps>) plot(<confint_kgaps>) print(<confint_kgaps>): Confidence intervals for the extremal index \(\theta\) for "kgaps" objects

confint(<spm>) plot(<confint_spm>) print(<confint_spm>): Confidence intervals for the extremal index \(\theta\) for "spm" objects

plot(<choose_b>): Plot block length diagnostic for the semiparametric maxima estimator

plot(<choose_ud>): Plot threshold \(u\) and runs parameter \(D\) diagnostic for the \(D\)-gaps estimator

plot(<choose_uk>): Plot threshold \(u\) and runs parameter \(K\) diagnostic for the \(K\)-gaps estimator