A numeric vector, which may contain missing values.
u
A single value giving the threshold, unless a time varying
threshold is used, in which case u should be a vector of
thresholds, typically with the same length as data (or else
the usual recycling rules are applied).
r
Either a postive integer denoting the clustering interval
length, or zero, in which case the intervals estimator of
Ferro and Segers (2003) is used and following arguments are
ignored. By default the interval length is one.
ulow
A single value giving the lower threshold, unless a time
varying lower threshold is used, in which case ulow should
be a vector of lower thresholds, typically with the same length as
data (or else the usual recycling rules are applied).
By default there is no lower threshold (or equivalently, the
lower threshold is -Inf).
rlow
A postive integer denoting the lower clustering interval
length. By default the interval length is one.
Details
If r is a positive integer the extremal index is estimated
using the inverse of the average cluster size, using the clusters
of exceedences derived from clusters. If r is
zero, an estimate based on inter-exceedance times is used (Ferro
and Segers, 2003).
If there are no exceedances of the threshold, the estimate is
NaN. If there is only one exceedance, the estimate is
one.
References
Ferro, C. A. T. and Segers, J. (2003)
Inference for clusters of extreme values.
JRSS B, 65, 545--556.