fitexi {POT}R Documentation

Extremal Index Estimation

Description

Estimation of the extremal index using interexceedance times.

Usage

fitexi(data, threshold)

Arguments

data A matrix with two columns: ``obs'' for the observations and ``time'' for the time.
threshold The threshold.

Details

The extremal index estimator proposed by Ferro and Segers (2003) is based on interexceedance times. In particular, it does not require a specific declusterization of the time series.

The ``tim.cond'' gives an ``automatic'' procedure to decluster the time series without any subjective choice to define the independence condition between clusters.

Value

This function returns a list with two components. The first one ``exi'' gives the estimate of the extremal index; while the second, ``tim.cond'' gives the time condition for independence between events to be passed to the clust function.

Author(s)

Mathieu Ribatet

References

Ferro, C. and Segers, J. (2003) Inference for clusters of extreme values. Journal of the Royal Statistical Society. Series B 65:2 545–556.

See Also

clust

Examples

data(ardieres)
exi <- fitexi(ardieres, 6)
exi
##Extract events with the ``automatic'' procedure
##Please be carefull for the time unit in tim.cond
clust(ardieres, 6, tim.cond = exi$tim.cond / 365.25, clust.max = TRUE)

[Package POT version 1.0-9 Index]