Package

exdex

exdex: Estimation of the Extremal Index

Inference for the extremal index

kgaps()

Maximum likelihood estimation for the \(K\)-gaps model

kgaps_stat()

Sufficient statistics for the \(K\)-gaps model

kgaps_imt()

Information matrix test under the \(K\)-gaps model

iwls()

Iterated weighted least squares estimation of the extremal index

spm()

Semiparametric maxima estimator of the extremal index

Choosing tuning parameters

choose_b()

Block length diagnostic for the semiparametric maxima estimator

choose_uk()

Threshold \(u\) and runs parameter \(K\) diagnostic for the \(K\)-gaps estimator

Calculating block maxima

all_max_rcpp()

Sliding and disjoint block maxima

Example data

cheeseboro

Cheeseboro hourly maximum wind gusts

newlyn

Newlyn sea surges

sp500

Daily log returns of the Standard and Poor (S&P) 500 index

Data manipulation

split_by_NAs()

Divides data into parts that contain no missing values

Generics

coef(<spm>) vcov(<spm>) nobs(<spm>) print(<spm>) summary(<spm>) print(<summary.spm>)

Methods for objects of class "spm"

coef(<kgaps>) vcov(<kgaps>) nobs(<kgaps>) logLik(<kgaps>) print(<kgaps>) summary(<kgaps>) print(<summary.kgaps>)

Methods for objects of class "kgaps"

coef(<iwls>) nobs(<iwls>) print(<iwls>)

Methods for objects of class "iwls"

confint(<kgaps>) plot(<confint_kgaps>) print(<confint_kgaps>)

Confidence intervals for the extremal index \(\theta\) for "kgaps" objects

confint(<spm>) plot(<confint_spm>) print(<confint_spm>)

Confidence intervals for the extremal index \(\theta\) for "spm" objects

plot(<choose_b>)

Plot block length diagnostic for the semiparametric maxima estimator

plot(<choose_uk>)

Plot threshold \(u\) and runs parameter \(K\) diagnostic for the \(K\)-gaps estimator