eiAnalyze {extRemes} | R Documentation |
Estimate the extremal index (and confidence limits) using intervals estimation.
eiAnalyze(x, thresholds = quantile(x, seq(0.9, 0.995, by = 0.005)), conf = 0.95, iter = 500, plot=FALSE)
x |
'n X 1' vector of data observations. |
thresholds |
Single number, or 'm X 1' vector of thresholds above which to estimate the extremal index. |
conf |
The conf *100 percent confidece level. |
iter |
Number of iterations desired for bootstrapping. |
plot |
Logical whether or not to plot the extremal indices against the thresholds (w/ confidence bounds). Only used if the length of 'thresholds' is greater than 1. |
Uses several functions written by Chris Ferro for estimating the extremal index by intervals estimation
(Ferro and Segers (2003)). Specifically, it calls the functions: exi.intervals
, decluster.intervals
,
boot.matrix
and boot.sequence
.
Returns a list with the following components.
ei |
'm X 1' vector of the estimate(s) of the extremal index. |
ci |
An 'm X 2' matrix giving the conf *100 percent confidence limits for ei . |
u |
The threshold(s) used. |
nc |
An 'n X 1' vector giving the number of clusters for each threshold choice. |
run.length |
An 'm X 1' vector giving the estimated run lengths. |
Maintained by Eric Gilleland.
Chris Ferro and Eric Gilleland
Ferro CAT and Segers J (2003) Inference for clusters of extreme values. Journal of the Royal Statistical Society B 65, 545-556.
exi.intervals
, decluster.intervals
, boot.matrix
, boot.sequence
## The function is currently defined as # function(x, thresholds=quantile(x, seq(0.900,0.995,by=0.005)), conf=0.95, iter=500)