extremal.index.censored {envoutliers}

Extremal index estimation (Holesovsky and Fusek, 2020) - Only intended for developer use

Description

Estimation of an extremal index using the censored estimator suggested in (Holesovsky and Fusek, 2020). The function is called by KRDetect.outliers.EV and is not intended for use by regular users of the package.

Usage

extremal.index.censored(x, u, D)

Arguments

x

a numeric vector of observations.

u

a numeric value giving threshold.

D

a nonnegative integer giving the value of D parameter (Holesovsky and Fusek, 2020)

Details

This function computes the censored estimate of extremal index suggested in (Holesovsky and Fusek, 2020). 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

Holesovsky, J, Fusek, M (2020). Estimation of the Extremal Index Using Censored Distributions. Extremes, DOI: 10.1007/s10687-020-00374-3.