exdex: Estimation of the Extremal Index

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. 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) <doi:10.1111/1467-9868.00401>). Three versions of this type of approach are provided: the iterated weight least squares approach of Suveges (2007) <doi:10.1007/s10687-007-0034-2>, the K-gaps model of Suveges and Davison (2010) <doi:10.1214/09-AOAS292> and a similar approach of Holesovsky, J. and Fusek, M. (2020) <doi:10.1007/s10687-020-00374-3> 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.

Version: 1.2.1
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: 2022-04-16
Author: Paul J. Northrop [aut, cre, cph], Constantinos Christodoulides [aut, cph]
Maintainer: Paul J. Northrop <p.northrop at ucl.ac.uk>
BugReports: https://github.com/paulnorthrop/exdex/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/paulnorthrop/exdex, https://paulnorthrop.github.io/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_1.2.1.tar.gz
Windows binaries: r-devel: exdex_1.2.1.zip, r-release: exdex_1.2.1.zip, r-oldrel: exdex_1.2.1.zip
macOS binaries: r-release (arm64): exdex_1.2.1.tgz, r-oldrel (arm64): exdex_1.2.1.tgz, r-release (x86_64): exdex_1.2.1.tgz, r-oldrel (x86_64): exdex_1.2.1.tgz
Old sources: exdex archive

Reverse dependencies:

Reverse imports: lite, revdbayes


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