Package: exdex 1.2.3

exdex: Estimation of the Extremal Index

Performs frequentist inference for the extremal index of a stationary time series. Two types of methodology are used. One type is based on a model that relates the distribution of block maxima to the marginal distribution of series and leads to the semiparametric maxima estimators described in Northrop (2015) <doi:10.1007/s10687-015-0221-5> and Berghaus and Bucher (2018) <doi:10.1214/17-AOS1621>. Sliding block maxima are used to increase precision of estimation. A graphical block size diagnostic is provided. The other type of methodology uses a model for the distribution of threshold inter-exceedance times (Ferro and Segers (2003) <doi:10.1111/1467-9868.00401>). Three versions of this type of approach are provided: the iterated weight least squares approach of Suveges (2007) <doi:10.1007/s10687-007-0034-2>, the K-gaps model of Suveges and Davison (2010) <doi:10.1214/09-AOAS292> and a similar approach of Holesovsky and Fusek (2020) <doi:10.1007/s10687-020-00374-3> that we refer to as D-gaps. For the K-gaps and D-gaps models this package allows missing values in the data, can accommodate independent subsets of data, such as monthly or seasonal time series from different years, and can incorporate information from right-censored inter-exceedance times. Graphical diagnostics for the threshold level and the respective tuning parameters K and D are provided.

Authors:Paul J. Northrop [aut, cre, cph], Constantinos Christodoulides [aut, cph]

exdex_1.2.3.tar.gz
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exdex.pdf |exdex.html✨
exdex/json (API)
NEWS

# Install 'exdex' in R:
install.packages('exdex', repos = c('https://paulnorthrop.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/paulnorthrop/exdex/issues

Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:
  • cheeseboro - Cheeseboro hourly maximum wind gusts
  • newlyn - Newlyn sea surges
  • sp500 - Daily log returns of the Standard and Poor (S&P) 500 index
  • uccle - Uccle maximum daily temperatures
  • uccle720 - 20th century Uccle maximum daily temperatures in July - data frame
  • uccle720m - 20th century Uccle maximum daily temperatures in July - matrix

On CRAN:

block-maximaextremal-indexextremeextreme-value-statisticsextremesinferencemaximasemiparametricsemiparametric-estimationsemiparametric-maxima-estimatorsthetathresholdvalue

15 exports 1.78 score 5 dependencies 4 dependents 11 scripts 618 downloads

Last updated 5 months agofrom:aa802a3e44. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKAug 25 2024
R-4.5-win-x86_64OKAug 25 2024
R-4.5-linux-x86_64OKAug 25 2024
R-4.4-win-x86_64OKAug 25 2024
R-4.4-mac-x86_64OKAug 25 2024
R-4.4-mac-aarch64OKAug 25 2024
R-4.3-win-x86_64OKAug 25 2024
R-4.3-mac-x86_64OKAug 25 2024
R-4.3-mac-aarch64OKAug 25 2024

Exports:all_max_rcppchoose_bchoose_udchoose_ukdgapsdgaps_imtdgaps_imt_statdgaps_statiwlskgapskgaps_imtkgaps_imt_statkgaps_statsplit_by_NAsspm

Dependencies:chandwichnumDerivRcppRcppArmadilloRcppRoll

Introducing exdex: Estimation of the Extremal Index

Paul Northrop

Rendered fromexdex-vignette.Rmdusingknitr::rmarkdownon Aug 25 2024.

Last update: 2022-04-16
Started: 2019-07-27

Readme and manuals

Help Manual

Help pageTopics
exdex: Estimation of the Extremal Indexexdex-package exdex
Sliding and disjoint block maximaall_max_rcpp
Cheeseboro hourly maximum wind gustscheeseboro
Block length diagnostic for the semiparametric maxima estimatorchoose_b
Threshold u and runs parameter D diagnostic for the D-gaps estimatorchoose_ud
Threshold u and runs parameter K diagnostic for the K-gaps estimatorchoose_uk
Maximum likelihood estimation using left-censored inter-exceedances timesdgaps
Confidence intervals for the extremal index theta for '"dgaps"' objectsconfint.dgaps dgaps_confint plot.confint_dgaps print.confint_dgaps
Information matrix test under the D-gaps modeldgaps_imt
Statistics for the D-gaps information matrix testdgaps_imt_stat
Methods for objects of class '"dgaps"'coef.dgaps dgaps_methods logLik.dgaps nobs.dgaps print.dgaps print.summary.dgaps summary.dgaps vcov.dgaps
Sufficient statistics for the left-censored inter-exceedances time modeldgaps_stat
Iterated weighted least squares estimation of the extremal indexiwls
Methods for objects of class '"iwls"'coef.iwls iwls_methods nobs.iwls print.iwls
Maximum likelihood estimation for the K-gaps modelkgaps
Confidence intervals for the extremal index theta for '"kgaps"' objectsconfint.kgaps kgaps_confint plot.confint_kgaps print.confint_kgaps
Information matrix test under the K-gaps modelkgaps_imt
Statistics for the information matrix testkgaps_imt_stat
Methods for objects of class '"kgaps"'coef.kgaps kgaps_methods logLik.kgaps nobs.kgaps print.kgaps print.summary.kgaps summary.kgaps vcov.kgaps
Sufficient statistics for the K-gaps modelkgaps_stat
Newlyn sea surgesnewlyn
Plot block length diagnostic for the semiparametric maxima estimatorplot.choose_b
Plot threshold u and runs parameter D diagnostic for the D-gaps estimatorplot.choose_ud
Plot threshold u and runs parameter K diagnostic for the K-gaps estimatorplot.choose_uk
Daily log returns of the Standard and Poor (S&P) 500 indexsp500
Divides data into parts that contain no missing valuessplit_by_NAs
Semiparametric maxima estimator of the extremal indexspm
Confidence intervals for the extremal index theta for '"spm"' objectsconfint.spm plot.confint_spm print.confint_spm spm_confint
Methods for objects of class '"spm"'coef.spm nobs.spm print.spm print.summary.spm spm_methods summary.spm vcov.spm
Uccle maximum daily temperaturesuccle
20th century Uccle maximum daily temperatures in July - data frameuccle720
20th century Uccle maximum daily temperatures in July - matrixuccle720m