{ "_id": "6a1f316eb401979e73427b58", "Package": "exdex", "Type": "Package", "Title": "Estimation of the Extremal Index", "Version": "1.2.4", "Date": "2026-01-10", "Authors@R": "c(\nperson(c(\"Paul\", \"J.\"), \"Northrop\", email = \"p.northrop@ucl.ac.uk\",\nrole = c(\"aut\", \"cre\", \"cph\")),\nperson(\"Constantinos\", \"Christodoulides\", role = c(\"aut\", \"cph\"))\n)", "Description": "Performs frequentist inference for the extremal index of a\nstationary time series. Two types of methodology are used. One\ntype is based on a model that relates the distribution of block\nmaxima to the marginal distribution of series and leads to the\nsemiparametric maxima estimators described in Northrop (2015)\n and Berghaus and Bucher (2018)\n. Sliding block maxima are used to\nincrease precision of estimation. A graphical block size\ndiagnostic is provided. The other type of methodology uses a\nmodel for the distribution of threshold inter-exceedance times\n(Ferro and Segers (2003) ). Three\nversions of this type of approach are provided: the iterated\nweight least squares approach of Suveges (2007)\n, the K-gaps model of Suveges\nand Davison (2010) and a similar\napproach of Holesovsky and Fusek (2020)\n that we refer to as D-gaps.\nFor the K-gaps and D-gaps models this package allows missing\nvalues in the data, can accommodate independent subsets of\ndata, such as monthly or seasonal time series from different\nyears, and can incorporate information from right-censored\ninter-exceedance times. Graphical diagnostics for the threshold\nlevel and the respective tuning parameters K and D are\nprovided.", "License": "GPL (>= 2)", "LazyData": "true", "Encoding": "UTF-8", "RoxygenNote": "7.2.3", "VignetteBuilder": "knitr", "URL": "https://github.com/paulnorthrop/exdex,\nhttps://paulnorthrop.github.io/exdex/", "BugReports": "https://github.com/paulnorthrop/exdex/issues", "Config/testthat/edition": "3", "Repository": "https://paulnorthrop.r-universe.dev", "Date/Publication": "2026-02-14 17:24:02 UTC", "RemoteUrl": "https://github.com/paulnorthrop/exdex", "RemoteRef": "HEAD", "RemoteSha": "8a530d51108a6c5ab9bb69a3467364963a7779a2", "NeedsCompilation": "yes", "Packaged": { "Date": "2026-05-15 08:21:10 UTC", "User": "root" }, "Author": "Paul J. Northrop [aut, cre, cph],\nConstantinos Christodoulides [aut, cph]", "Maintainer": "Paul J. Northrop ", "MD5sum": "3e7c1d472f982fe1a6dbb7fa20c693df", "_user": "paulnorthrop", "_type": "src", "_file": "exdex_1.2.4.tar.gz", "_fileid": "5b9e455730e8ffa019039b365cacd8dfcb6482efd80c37a9847867dbb7e5f16d", "_filesize": 1266194, "_sha256": "5b9e455730e8ffa019039b365cacd8dfcb6482efd80c37a9847867dbb7e5f16d", "_created": "2026-05-15T08:21:10.000Z", "_published": "2026-06-02T19:39:26.092Z", "_distro": "noble", "_jobs": [ { "job": 79156557124, "time": 162, "config": "linux-devel-arm64", "r": "4.7.0", "check": "OK", "artifact": "7013008738" }, { "job": 79156557386, "time": 157, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7013007799" }, { "job": 79156557821, "time": 163, "config": "linux-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7013009110" }, { "job": 79156557862, "time": 156, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7013007410" }, { "job": 79156557382, "time": 132, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "7013076001" }, { "job": 79156557441, "time": 318, "config": "macos-oldrel-x86_64", "r": "4.5.3", "check": "OK", "artifact": "7013048677" }, { "job": 79156557687, "time": 130, "config": "macos-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7013001071" }, { "job": 79156557352, "time": 267, "config": "macos-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7013035216" }, { "job": 79156557010, "time": 204, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7012969242" }, { "job": 79156556638, "time": 119, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7367991182" }, { "job": 79156557113, "time": 142, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "7013003872" }, { "job": 79156557542, "time": 157, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "7013007652" }, { "job": 79156557688, "time": 158, "config": "windows-release", "r": "4.6.0", "check": "OK", "artifact": "7013007957" } ], "_buildurl": "https://github.com/r-universe/paulnorthrop/actions/runs/25907758360", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/paulnorthrop/exdex", "_commit": { "id": "8a530d51108a6c5ab9bb69a3467364963a7779a2", "author": "Paul Northrop ", "committer": "Paul Northrop ", "message": "Tidy\n", "time": 1771089842 }, "_maintainer": { "name": "Paul J. Northrop", "email": "p.northrop@ucl.ac.uk", "login": "paulnorthrop", "uuid": 22778905 }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 3.3.0", "role": "Depends" }, { "package": "Rcpp", "role": "LinkingTo" }, { "package": "RcppArmadillo", "role": "LinkingTo" }, { "package": "chandwich", "role": "Imports" }, { "package": "graphics", "role": "Imports" }, { "package": "methods", "role": "Imports" }, { "package": "Rcpp", "role": "Imports" }, { "package": "RcppRoll", "role": "Imports" }, { "package": "stats", "role": "Imports" }, { "package": "knitr", "role": "Suggests" }, { "package": "revdbayes", "role": "Suggests" }, { "package": "rmarkdown", "role": "Suggests" }, { "package": "testthat", "role": "Suggests" }, { "package": "zoo", "version": ">= 1.6.4", "role": "Suggests" } ], "_owner": "paulnorthrop", "_selfowned": true, "_usedby": 6, "_updates": [ { "week": "2026-01", "n": 5 }, { "week": "2026-02", "n": 7 }, { "week": "2026-03", "n": 1 }, { "week": "2026-05", 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"1912", "1913", "1914", "1915", "1916", "1917", "1918", "1919", "1920", "1921", "1922", "1923", "1924", "1925", "1926", "1927", "1928", "1929", "1930", "1931", "1932", "1933", "1934", "1935", "1936", "1937", "1938", "1939", "1940", "1941", "1942", "1943", "1944", "1945", "1946", "1947", "1948", "1949", "1950", "1951", "1952", "1953", "1954", "1955", "1956", "1957", "1958", "1959", "1960", "1961", "1962", "1963", "1964", "1965", "1966", "1967", "1968", "1969", "1970", "1971", "1972", "1973", "1974", "1975", "1976", "1977", "1978", "1979", "1980", "1981", "1982", "1983", "1984", "1985", "1986", "1987", "1988", "1989", "1990", "1991", "1992", "1993", "1994", "1995", "1996", "1997", "1998", "1999" ], "rows": 31, "table": true, "tojson": true } ], "_help": [ { "page": "exdex-package", "title": "exdex: Estimation of the Extremal Index", "topics": [ "exdex-package", "exdex" ] }, { "page": "all_max_rcpp", "title": "Sliding and disjoint block maxima", "topics": [ "all_max_rcpp" ] }, { "page": "cheeseboro", "title": "Cheeseboro hourly maximum wind gusts", "topics": [ "cheeseboro" ] }, { "page": "choose_b", "title": "Block length diagnostic for the semiparametric maxima estimator", "topics": [ "choose_b" ] }, { "page": "choose_ud", "title": "Threshold u and runs parameter D diagnostic for the D-gaps estimator", "topics": [ "choose_ud" ] }, { "page": "choose_uk", "title": "Threshold u and runs parameter K diagnostic for the K-gaps estimator", "topics": [ "choose_uk" ] }, { "page": "dgaps", "title": "Maximum likelihood estimation using left-censored inter-exceedances times", "topics": [ "dgaps" ] }, { "page": "dgaps_confint", "title": "Confidence intervals for the extremal index theta for '\"dgaps\"' objects", "topics": [ "confint.dgaps", "dgaps_confint", "plot.confint_dgaps", "print.confint_dgaps" ] }, { "page": "dgaps_imt", "title": "Information matrix test under the D-gaps model", "topics": [ "dgaps_imt" ] }, { "page": "dgaps_imt_stat", "title": "Statistics for the D-gaps information matrix test", "topics": [ "dgaps_imt_stat" ] }, { "page": "dgaps_methods", "title": "Methods for objects of class '\"dgaps\"'", "topics": [ "coef.dgaps", "dgaps_methods", "logLik.dgaps", "nobs.dgaps", "print.dgaps", "print.summary.dgaps", "summary.dgaps", "vcov.dgaps" ] }, { "page": "dgaps_stat", "title": "Sufficient statistics for the left-censored inter-exceedances time model", "topics": [ "dgaps_stat" ] }, { "page": "iwls", "title": "Iterated weighted least squares estimation of the extremal index", "topics": [ "iwls" ] }, { "page": "iwls_methods", "title": "Methods for objects of class '\"iwls\"'", "topics": [ "coef.iwls", "iwls_methods", "nobs.iwls", "print.iwls" ] }, { "page": "kgaps", "title": "Maximum likelihood estimation for the K-gaps model", "topics": [ "kgaps" ] }, { "page": "kgaps_confint", "title": "Confidence intervals for the extremal index theta for '\"kgaps\"' objects", "topics": [ "confint.kgaps", "kgaps_confint", "plot.confint_kgaps", "print.confint_kgaps" ] }, { "page": "kgaps_imt", "title": "Information matrix test under the K-gaps model", "topics": [ "kgaps_imt" ] }, { "page": "kgaps_imt_stat", "title": "Statistics for the information matrix test", "topics": [ "kgaps_imt_stat" ] }, { "page": "kgaps_methods", "title": "Methods for objects of class '\"kgaps\"'", "topics": [ "coef.kgaps", "kgaps_methods", "logLik.kgaps", "nobs.kgaps", "print.kgaps", "print.summary.kgaps", "summary.kgaps", "vcov.kgaps" ] }, { "page": "kgaps_stat", "title": "Sufficient statistics for the K-gaps model", "topics": [ "kgaps_stat" ] }, { "page": "newlyn", "title": "Newlyn sea surges", "topics": [ "newlyn" ] }, { "page": "plot.choose_b", "title": "Plot block length diagnostic for the semiparametric maxima estimator", "topics": [ "plot.choose_b" ] }, { "page": "plot.choose_ud", "title": "Plot threshold u and runs parameter D diagnostic for the D-gaps estimator", "topics": [ "plot.choose_ud" ] }, { "page": "plot.choose_uk", "title": "Plot threshold u and runs parameter K diagnostic for the K-gaps estimator", "topics": [ "plot.choose_uk" ] }, { "page": "sp500", "title": "Daily log returns of the Standard and Poor (S&P) 500 index", "topics": [ "sp500" ] }, { "page": "split_by_NAs", "title": "Divides data into parts that contain no missing values", "topics": [ "split_by_NAs" ] }, { "page": "spm", "title": "Semiparametric maxima estimator of the extremal index", "topics": [ "spm" ] }, { "page": "spm_confint", "title": "Confidence intervals for the extremal index theta for '\"spm\"' objects", "topics": [ "confint.spm", "plot.confint_spm", "print.confint_spm", "spm_confint" ] }, { "page": "spm_methods", "title": "Methods for objects of class '\"spm\"'", "topics": [ "coef.spm", "nobs.spm", "print.spm", "print.summary.spm", "spm_methods", "summary.spm", "vcov.spm" ] }, { "page": "uccle", "title": "Uccle maximum daily temperatures", "topics": [ "uccle" ] }, { "page": "uccle720", "title": "20th century Uccle maximum daily temperatures in July - data frame", "topics": [ "uccle720" ] }, { "page": "uccle720m", "title": "20th century Uccle maximum daily temperatures in July - matrix", "topics": [ "uccle720m" ] } ], "_readme": "https://github.com/paulnorthrop/exdex/raw/HEAD/README.md", "_rundeps": [ "chandwich", "numDeriv", "Rcpp", "RcppArmadillo", "RcppRoll" ], "_sysdeps": [ { "shlib": "libstdc++", "package": "libstdc++6", "source": "gcc", "version": "14.2.0-4ubuntu2~24.04.1", "name": "c++", "homepage": "http://gcc.gnu.org/", "description": "GNU Standard C++ Library v3" } ], "_vignettes": [ { "source": "exdex-vignette.Rmd", "filename": "exdex-vignette.html", "title": "Introducing exdex: Estimation of the Extremal Index", "author": "Paul Northrop", "engine": "knitr::rmarkdown", "headings": [ "Semiparametric maxima estimators", "Newlyn sea surges", "S&P 500 index", "Block size selection", "Threshold-based estimators", "$K$-gaps", "Multiple time series and missing values", "$D$-gaps", "Iterated weighted least 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