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exdex
View on CRAN: Click
here
Download and install exdex package within the R console
Install from CRAN:
install.packages("exdex")
Install from Github:
library("remotes")
install_github("cran/exdex") Install by package version:
library("remotes")
install_version("exdex", "1.2.4") Attach the package and use:
library("exdex")
Maintained by
Paul J. Northrop
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-08-03
Latest Update: 2023-12-02
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) and
Berghaus and Bucher (2018) . Sliding block maxima
are used to increase precision of estimation. A graphical block size
diagnostic is provided. The other type of methodology uses a model for the
distribution of threshold inter-exceedance times (Ferro and Segers (2003)
). Three versions of this type of approach are
provided: the iterated weight least squares approach of Suveges (2007)
, the K-gaps model of
Suveges and Davison (2010) and a similar approach
of Holesovsky and Fusek (2020)
that we refer to as D-gaps. For the K-gaps and D-gaps models this package
allows missing values in the data, can accommodate independent subsets of
data, such as monthly or seasonal time series from different years, and can
incorporate information from right-censored inter-exceedance times.
Graphical diagnostics for the threshold level and the respective tuning
parameters K and D are provided.
How to cite:
Paul J. Northrop (2019). exdex: Estimation of the Extremal Index. R package version 1.2.4, https://cran.r-project.org/web/packages/exdex. Accessed 15 Jul. 2026.
Previous versions and publish date:
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Complete documentation for exdex
Functions, R codes and Examples using
the exdex R package
Some associated functions: all_max_rcpp . cheeseboro . choose_b . choose_ud . choose_uk . dgaps . dgaps_confint . dgaps_imt . dgaps_imt_stat . dgaps_methods . dgaps_stat . exdex-internal . exdex-package . iwls . iwls_methods . kgaps . kgaps_confint . kgaps_imt . kgaps_imt_stat . kgaps_methods . kgaps_stat . newlyn . plot.choose_b . plot.choose_ud . plot.choose_uk . sp500 . split_by_NAs . spm . spm_confint . spm_methods . uccle . uccle720 . uccle720m .
Some associated R codes: RcppExports.R . block_maxima.R . choose_b.R . choose_uD.R . choose_uk.R . confidence_intervals.R . dgaps.R . dgaps_imt.R . dgaps_methods.R . exdex-internal.R . exdex-package.R . iwls.R . iwls_methods.R . kgaps.R . kgaps_imt.R . kgaps_methods.R . split_by_NAs.R . spm_methods.R . spm_rcpp.R . zzz.R . Full exdex package functions and examples
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