eiAnalyze {extRemes}R Documentation

Extremal index analysis

Description

Estimate the extremal index (and confidence limits) using intervals estimation.

Usage

eiAnalyze(x, thresholds = quantile(x, seq(0.9, 0.995, by = 0.005)), conf = 0.95, iter = 500, plot=FALSE)

Arguments

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.

Details

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.

Value

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.

Note

Maintained by Eric Gilleland.

Author(s)

Chris Ferro and Eric Gilleland

References

Ferro CAT and Segers J (2003) Inference for clusters of extreme values. Journal of the Royal Statistical Society B 65, 545-556.

See Also

exi.intervals, decluster.intervals, boot.matrix, boot.sequence

Examples

## The function is currently defined as
# function(x, thresholds=quantile(x, seq(0.900,0.995,by=0.005)), conf=0.95, iter=500)

[Package extRemes version 1.59 Index]