extremal.index.intervals {envoutliers}

Extremal index estimation (Ferro and Segers, 2003) - Only intended for developer use

Description

Estimation of an extremal index using the Intervals estimator suggested in (Ferro and Segers, 2003). The function is called by KRDetect.outliers.EV and is not intended for use by regular users of the package.

Usage

extremal.index.intervals(x, u)

Arguments

x

a numeric vector of observations.

u

a numeric value giving threshold

Details

This function computes the estimate of extremal index suggested in (Ferro and Segers, 2003). 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

Ferro, CAT, Segers, J (2003). Inference for Cluster of Extreme Values. Journal of Royal Statistical Society, Series B, 65(2), 545-556.