eiAnalyze: Extremal Index Analysis

Description

Estimate the extremal index (and confidence limits) using intervals estimation.

Usage

eiAnalyze(x, thresholds = quantile(x, seq(0.9, 0.995, by = 0.005)),
    conf = 0.95, iter = 500, plot=FALSE)

Arguments

n by 1 vector of data observations.

thresholds

Single number, or m by 1 vector of thresholds above which to estimate the extremal index.

conf

The conf*100 percent confidece level.

iter

Number of iterations desired for bootstrapping.

plot

Logical whether or not to plot the extremal indices against the thresholds (w/ confidence bounds). Only used if the length of thresholds is greater than 1.

Value

Returns a list with the following components.
eim by 1 vector of the estimate(s) of the extremal index.
ciAn m by 2 matrix giving the conf*100 percent confidence limits for ei.
uThe threshold(s) used.
ncAn n by 1 vector giving the number of clusters for each threshold choice.
run.lengthAn m by 1 vector giving the estimated run lengths.

Details

Uses several functions written by Chris Ferro for estimating the extremal index by intervals estimation (Ferro and Segers (2003)). Specifically, it calls the functions: exi.intervals, decluster.intervals, boot.matrix and boot.sequence.

References

Ferro, C. A. T. and Segers, J. (2003) Inference for clusters of extreme values. Journal of the Royal Statistical Society B, 65, 545--556.

Examples

Run this code

data(ftcanmax)
eiAnalyze(ftcanmax$Prec, thresholds=0.1)

Run the code above in your browser using DataLab