extremalPP {QRMlib} | R Documentation |
creates an extremal point process of class MPP
extremalPP(data, threshold = NA, nextremes = NA)
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) |
see pages 298-301 of QRM
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 |
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;