fitexi {POT} | R Documentation |
Estimation of the extremal index using interexceedance times.
fitexi(data, threshold)
data |
A matrix with two columns: ``obs'' for the
observations and ``time'' for the time. |
threshold |
The threshold. |
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.
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.
Mathieu Ribatet
Ferro, C. and Segers, J. (2003) Inference for clusters of extreme values. Journal of the Royal Statistical Society. Series B 65:2 545–556.
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)