decluster {evir} | R Documentation |
Declusters clustered point process data so that Poisson assumption is more tenable over a high threshold.
decluster(series, run = NA, picture = TRUE)
series |
a numeric vector of threshold exceedances
with a times attribute which should be a numeric
vector containing either the indices or the times/dates
of each exceedance (if times/dates, the attribute should
be an object of class "POSIXct" or an object that
can be converted to that class; see
as.POSIXct ) |
run |
parameter to be used in the runs method; any two consecutive threshold exceedances separated by more than this number of observations/days are considered to belong to different clusters |
picture |
whether or not a picture of declustering should be drawn |
The declustered object.
Embrechts, P., Klueppelberg, C., Mikosch, T. (1997). Modelling Extremal Events. Springer. Chapter 8, 413–429.
# decluster the 200 exceedances of a particular threshold in # the negative BMW data data(bmw) out <- pot(-bmw, ne = 200) decluster(out$data, 30)