eventstudies (version 1.1)

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)

Arguments

input

'input' is the time-series on which extreme event analysis is done. This series should in returns format.

prob.value

It is the tail value on the basis of which the extreme event are defined. For eg: prob.value of 5 will consider 5% tail on both sides.

Value

Output is in a list format with following items:

Summary statistics

Summary of the data set

Lower tail

Distribution of extreme events; Run length distribution; Quantile values; Yearly distribution; Extreme event data

Upper tail

Distribution of extreme events; Run length distribution; Quantile values; Yearly distribution; Extreme event data

References

To convert number to words, code uses function numbers2words by John Fox and deprintize function by Miron Kursa

Examples

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