extremal.index.sliding.blocks {envoutliers}

Extremal index estimation (Northrop, 2015) - Only intended for developer use

Description

Estimation of an extremal index using the sliding blocks estimator suggested in (Northrop, 2015). The function is called by KRDetect.outliers.EV and is not intended for use by regular users of the package.

Usage

extremal.index.sliding.blocks(x, b = round(sqrt(length(x))))

Arguments

x

a numeric vector of observations.

b

a numeric value giving the length of blocks. Default is b = round(sqrt(n)).

Details

This function computes the sliding blocks estimate of extremal index suggested in (Northrop, 2015). 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

Northrop, PJ (2015). An Efficient Semiparametric Maxima Estimator of the Extremal Index. Extremes, 18, 585-603.