coef method for class c("spm", "exdex").

# S3 method for spm
coef(
  object,
  maxima = c("sliding", "disjoint"),
  estimator = "all",
  constrain = FALSE,
  ...
)

Arguments

object

and object of class c("spm", "exdex") returned from spm.

maxima

A character scalar specifying whether to return the estimate of the extremal index \(\theta\) based on sliding maxima or on disjoint maxima.

estimator

A character vector specifying which of the three variants of the semiparametric maxima estimator to use: "N2015", "BB2018" or "BB2018b". See spm for details. If estimator = "all" then all three estimates are returned.

constrain

A logical scalar. If constrain = TRUE then any estimates that are greater than 1 are set to 1, that is, they are constrained to lie in (0, 1]. Otherwise, estimates that are greater than 1 may be obtained.

...

Further arguments. None are used.

Value

A numeric scalar (or a vector of length 2 if estimator = "both"): the required estimate(s) of the extremal index \(\theta\).

References

Northrop, P. J. (2015) An efficient semiparametric maxima estimator of the extremal index. Extremes 18(4), 585-603. doi: 10.1007/s10687-015-0221-5

Berghaus, B., Bucher, A. (2018) Weak convergence of a pseudo maximum likelihood estimator for the extremal index. Ann. Statist. 46(5), 2307-2335. doi: 10.1214/17-AOS1621