POT (version 1.1-11)

fitexi: Extremal Index Estimation

Description

Estimation of the extremal index using interexceedance times.

Usage

fitexi(data, threshold)

Value

This function returns a list with two components. The first one

exi gives the estimate of the extremal index; while the second, tim.cond gives the time condition for independence between events to be passed to the clust function.

Arguments

data

A matrix with two columns: obs for the observations and time for the time.

threshold

The threshold.

Author

Mathieu Ribatet

Details

The extremal index estimator proposed by Ferro and Segers (2003) is based on interexceedance times. In particular, it does not require a specific declusterization of the time series.

The tim.cond gives an ``automatic'' procedure to decluster the time series without any subjective choice to define the independence condition between clusters.

References

Ferro, C. and Segers, J. (2003) Inference for clusters of extreme values. Journal of the Royal Statistical Society. Series B 65:2 545--556.

See Also

clust

Examples

n.obs <- 500
x <- rexp(n.obs + 1)
y <- pmax(x[-1], x[-(n.obs + 1)])## The extremal index is 0.5

u <- quantile(y, 0.95)
fitexi(y, u)