extremal.index.Kgaps {envoutliers}

Extremal index estimation (Suveges and Davison, 2010) - Only intended for developer use

Description

Estimation of an extremal index using the K-gaps estimator suggested in (Suveges and Davison, 2010). The function is called by KRDetect.outliers.EV and is not intended for use by regular users of the package.

Usage

extremal.index.Kgaps(x, u, K)

Arguments

x

a numeric vector of observations.

u

a numeric value giving threshold.

K

a nonnegative integer giving the value of K parameter (Suveges and Davison, 2010).

Details

This function computes the K-gaps estimate of extremal index suggested in (Suveges and Davison, 2010). The function is exported for developer use only. It does not perform any checks on inputs since it is only convenience function used within KRDetect.outliers.EV.

Value

a numeric value of an extremal index estimate

References

Suveges, M, Davison, AC (2010). Model Misspecification in Peaks Over Threshold Analysis. The Annals of Applied Statistics, 4(1), 203-221.