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. 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

Downloads:

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
OS X binaries: r-release: exdex_1.0.1.tgz, r-oldrel: exdex_1.0.1.tgz
Old sources: exdex archive

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