Estimation of the Extremal Index

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Documentation for package ‘exdex’ version 1.2.3

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

exdex-package	exdex: Estimation of the Extremal Index
all_max_rcpp	Sliding and disjoint block maxima
cheeseboro	Cheeseboro hourly maximum wind gusts
choose_b	Block length diagnostic for the semiparametric maxima estimator
choose_ud	Threshold u and runs parameter D diagnostic for the D-gaps estimator
choose_uk	Threshold u and runs parameter K diagnostic for the K-gaps estimator
coef.dgaps	Methods for objects of class '"dgaps"'
coef.iwls	Methods for objects of class '"iwls"'
coef.kgaps	Methods for objects of class '"kgaps"'
coef.spm	Methods for objects of class '"spm"'
confint.dgaps	Confidence intervals for the extremal index theta for '"dgaps"' objects
confint.kgaps	Confidence intervals for the extremal index theta for '"kgaps"' objects
confint.spm	Confidence intervals for the extremal index theta for '"spm"' objects
dgaps	Maximum likelihood estimation using left-censored inter-exceedances times
dgaps_confint	Confidence intervals for the extremal index theta for '"dgaps"' objects
dgaps_imt	Information matrix test under the D-gaps model
dgaps_imt_stat	Statistics for the D-gaps information matrix test
dgaps_methods	Methods for objects of class '"dgaps"'
dgaps_stat	Sufficient statistics for the left-censored inter-exceedances time model
exdex	exdex: Estimation of the Extremal Index
iwls	Iterated weighted least squares estimation of the extremal index
iwls_methods	Methods for objects of class '"iwls"'
kgaps	Maximum likelihood estimation for the K-gaps model
kgaps_confint	Confidence intervals for the extremal index theta for '"kgaps"' objects
kgaps_imt	Information matrix test under the K-gaps model
kgaps_imt_stat	Statistics for the information matrix test
kgaps_methods	Methods for objects of class '"kgaps"'
kgaps_stat	Sufficient statistics for the K-gaps model
logLik.dgaps	Methods for objects of class '"dgaps"'
logLik.kgaps	Methods for objects of class '"kgaps"'
newlyn	Newlyn sea surges
nobs.dgaps	Methods for objects of class '"dgaps"'
nobs.iwls	Methods for objects of class '"iwls"'
nobs.kgaps	Methods for objects of class '"kgaps"'
nobs.spm	Methods for objects of class '"spm"'
plot.choose_b	Plot block length diagnostic for the semiparametric maxima estimator
plot.choose_ud	Plot threshold u and runs parameter D diagnostic for the D-gaps estimator
plot.choose_uk	Plot threshold u and runs parameter K diagnostic for the K-gaps estimator
plot.confint_dgaps	Confidence intervals for the extremal index theta for '"dgaps"' objects
plot.confint_kgaps	Confidence intervals for the extremal index theta for '"kgaps"' objects
plot.confint_spm	Confidence intervals for the extremal index theta for '"spm"' objects
print.confint_dgaps	Confidence intervals for the extremal index theta for '"dgaps"' objects
print.confint_kgaps	Confidence intervals for the extremal index theta for '"kgaps"' objects
print.confint_spm	Confidence intervals for the extremal index theta for '"spm"' objects
print.dgaps	Methods for objects of class '"dgaps"'
print.iwls	Methods for objects of class '"iwls"'
print.kgaps	Methods for objects of class '"kgaps"'
print.spm	Methods for objects of class '"spm"'
print.summary.dgaps	Methods for objects of class '"dgaps"'
print.summary.kgaps	Methods for objects of class '"kgaps"'
print.summary.spm	Methods for objects of class '"spm"'
sp500	Daily log returns of the Standard and Poor (S&P) 500 index
split_by_NAs	Divides data into parts that contain no missing values
spm	Semiparametric maxima estimator of the extremal index
spm_confint	Confidence intervals for the extremal index theta for '"spm"' objects
spm_methods	Methods for objects of class '"spm"'
summary.dgaps	Methods for objects of class '"dgaps"'
summary.kgaps	Methods for objects of class '"kgaps"'
summary.spm	Methods for objects of class '"spm"'
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
vcov.dgaps	Methods for objects of class '"dgaps"'
vcov.kgaps	Methods for objects of class '"kgaps"'
vcov.spm	Methods for objects of class '"spm"'