cheeseboro

<p>The matrix <code>cheeseboro</code> contains hourly maximum wind gusts (in miles
per hour) recorded at the Cheeseboro weather station near Thousand Oaks,
Southern California, USA during the month of January over the period
2000-2009. These data are analysed in Reich and Shaby (2016).</p>

datasets

Performs frequentist inference for the extremal index of a
stationary time series.  Two types of methodology are used.  One type is
based on a model that relates the distribution of block maxima to the
marginal distribution of series and leads to the semiparametric maxima
estimators described in Northrop (2015) <doi:10.1007/s10687-015-0221-5> and
Berghaus and Bucher (2018) <doi:10.1214/17-AOS1621>.  Sliding block maxima
are used to increase precision of estimation. A graphical block size
diagnostic is provided.  The other type of methodology uses a model for the
distribution of threshold inter-exceedance times (Ferro and Segers (2003)
<doi:10.1111/1467-9868.00401>). Three versions of this type of approach are
provided: the iterated weight least squares approach of Suveges (2007)
<doi:10.1007/s10687-007-0034-2>, the K-gaps model of
Suveges and Davison (2010) <doi:10.1214/09-AOAS292> and a similar approach
of Holesovsky and Fusek (2020) <doi:10.1007/s10687-020-00374-3>
that we refer to as D-gaps. For the K-gaps and D-gaps models this package
allows missing values in the data, can accommodate independent subsets of
data, such as monthly or seasonal time series from different years, and can
incorporate information from right-censored inter-exceedance times.
Graphical diagnostics for the threshold level and the respective tuning
parameters K and D are provided.

Paul Northrop

exdex

Estimation of the Extremal Index

Constantinos Christodoulides

cheeseboro function

<p>A 744 by 10 numeric matrix.  Column <code>i</code> contains the hourly
  maximum wind gusts (in miles per hour) from Cheeseboro in the year
  2000 + <code>i</code> - 1. The columns are named 2000, 2001, ..., 2009 and the
  rows are named day<code>j</code>hour<code>k</code>, where <code>j</code> is the day of the
  month and <code>k</code> the hour of the day.</p>

cheeseboro: Cheeseboro hourly maximum wind gusts

Description

Usage

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References