cdf {extremis}

Empirical Scedasis Distribution Function

Description

This function computes the empirical scedasis distribution function.

Usage

cdf(Y, threshold = quantile(Y[, 2], 0.95))

Arguments

Y

data frame from which the estimate is to be computed; first column corresponds to time and the second to the variable of interest.

threshold

value used to threshold the data y; by default threshold = quantile(Y[, 2], 0.95).

Details

The empirical scedasis distribution function was introduced by Einmahl et al (2016).

Value

C

empirical scedasis distribution function.

w

standardized indices of exceedances.

k

number of exceedances above a threshold.

Y

raw data.

The plot method depicts the empirical cumulative scedasis function, and the reference line for the case of constant frequency of extremes over time (if uniform = TRUE).

Author(s)

Miguel de Carvalho

References

Einmahl, J. H., Haan, L., and Zhou, C. (2016) Statistics of heteroscedastic extremes. Journal of the Royal Statistical Society: Ser. B, 78(1), 31–51.

Examples

data(sp500)
attach(sp500)
Y <- data.frame(date[-1], -diff(log(close)))
fit <- cdf(Y)
plot(fit)
plot(fit, original = FALSE)