Estimation of the Extremal Index

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Documentation for package ‘exdex’ version 1.2.1

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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"'