eventstudies (version 1.0)

ees: Extreme events study for a time series.

Description

This function identifies the extreme events from a time series. It also generates summary statistics for clustered and unclustered extreme event distribution.

Usage

ees(input,prob.value)

Value

Output is in a list format with following items:Summary statisticsSummary of the data setLower tailDistribution of extreme events; Run length distribution; Quantile values; Yearly distribution; Extreme event dataUpper tailDistribution of extreme events; Run length distribution; Quantile values; Yearly distribution; Extreme event data

References

To convert number to words, code uses function http://finzi.psych.upenn.edu/R/Rhelp02a/archive/46843.html{numbers2words} by http://socserv.mcmaster.ca/jfox/{John Fox} and deprintize function by http://mbq.me/{Miron Kursa}

Examples

library(eventstudies)
data(eesData)
input <- eesData$sp500
output <- ees(input, prob.value=5)