Calculates the (sliding) maxima of all blocks of b contiguous values
and all sets of the maxima of disjoint blocks of b contiguous values
in the vector x. This provides the first step of computations in
spm.
all_max_rcpp(x, b = 1, which_dj = c("all", "first", "last"), ...)A list containing
ys a numeric vector containing one set of sliding block maxima.
xsa numeric vector containing the values that
contribute to ys, that is, the whole input vector x.
yd if which_dj = "all" a floor(n / b)
by n - floor(n / b) * b + 1 numeric matrix. Each column
contains a set of disjoint maxima. Otherwise, a floor(n / b)
by 1 numeric matrix containing one set of block maxima.
xd if which_dj = "all" a
floor(n / b) * b by n - floor(n / b) * b + 1 numeric
matrix. Each column contains the values in x that contribute
to the corresponding column in yd. Otherwise, a
floor(n / b) by 1 numeric matrix containing one the one set of
the values in x that contribute to yd.
A numeric vector of raw observations.
A numeric scalar. The block size.
A character scalar. Determines Which sets of disjoint
maxima are calculated: "all", all sets; "first", only the
set whose first block starts on the first observation in x;
"last", only the set whose last block end on the last observation
in x.
Further arguments to be passed to
roll_max.
Sliding maxima. The function
roll_max in the RcppRoll
package is used.
Disjoint maxima. If n = length(x) is an integer
multiple of b, or if which_dj = "first" or
which_dj = "last" then only one set of n / b disjoint
block maxima are returned.
Otherwise, n - floor(n / b) * b + 1 sets of floor(n / b)
disjoint block maxima are returned. Set i are the disjoint maxima
of x[i:(i + floor(n / b) * b - 1)]. That is, all possible sets
of contiguous disjoint maxima achieving the maxima length of
floor(n / b) are calculated.
In both instances na.rm = TRUE is passed to max so
that blocks containing missing values produce a non-missing result.
Also returned are the values in x that contribute to each set
of block maxima.
spm for semiparametric estimation of the
extremal index based on block maxima.
x <- 1:11
all_max_rcpp(x, 3)
all_max_rcpp(x, 3, which_dj = "first")
all_max_rcpp(x, 3, which_dj = "last")
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