extremalPP {QRMlib}R Documentation

Extremal Point Process

Description

creates an extremal point process of class MPP

Usage

extremalPP(data, threshold = NA, nextremes = NA)

Arguments

data a timeSeries object or vector of numbers to be interpreted as a regular time series
threshold threshold value (either this or "nextremes" must be given but not both)
nextremes the number of upper extremes to be used (either this or "threshold" must be given but not both)

Details

see pages 298-301 of QRM

Value

a list describing class MPP (marked point process) consisting of times and magnitudes of threshold exceedances:

times vector of julian day counts (since 1/1/1960) for each exceedance
marks vector of exceedances values (differences between value and threshold at each mark)
startime the julian count one day prior to the first date in the entire timeSeries
endtime value of last julian count in entire timeSeries
threshold value of threshold above which exceedances are calculated

See Also

unmark, fit.sePP, fit.seMPP

Examples

data(sp500);
sp500.nreturns <- -mk.returns(sp500); 
tD <- timeDate("12/31/1995","%m/%d/%Y"); 
window <- (seriesPositions(sp500.nreturns) > tD);
sp500.nreturns <- sp500.nreturns[window]; 
tmp <- extremalPP(sp500.nreturns,ne=100); 
tmp$marks[1:5];
tmp$threshold;

[Package QRMlib version 1.4.4 Index]