Plot estimates of extremal index using the blocks method.
exindex(data, block, start = 5, end = NA, reverse = FALSE,
auto.scale = TRUE, labels = TRUE, …)
data vector (raw values not block maxima).
the block size. A numeric value is interpreted as
the number of data values in each successive block.
All the data is used, so the last block may not contain
block
observations.
If the data
has a times
attribute containing (in
an object of class "POSIXct"
, or an object that can be
converted to that class; see as.POSIXct
) the
times/dates of each observation, then block
may instead
take the character values "month"
, "quarter"
,
"semester"
or "year"
.
lowest value of K at which to plot a point; K is the number of blocks in which a specified threshold is exceeded
highest value of K at which to plot a point
whether plot is to be by increasing threshold
(TRUE
) or increasing K value (FALSE
)
whether or not plot should be automatically
scaled; if not, xlim
and ylim
graphical parameters
may be entered
whether or not axes should be labelled
other graphics parameters
A table of results is returned invisibly.
Embrechts, P., Klueppelberg, C., Mikosch, T. (1997). Modelling Extremal Events. Springer. Chapter 8, 413-429.
# NOT RUN {
data(bmw)
# }
# NOT RUN {
exindex(bmw, 100)
# }
# NOT RUN {
exindex(-bmw, 100)
# }
# NOT RUN {
# calculate extremal index for the right and left tails of the BMW
# log returns
# }
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