Estimation of the Extremal Index


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Documentation for package ‘exdex’ version 1.0.1

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exdex-package exdex: Estimation of the Extremal Index
all_max_rcpp Sliding and disjoint block maxima
choose_b Block length diagnostic for the semiparametric maxima estimator
choose_uk Threshold u and runs parameter K diagnostic for the K-gaps estimator
coef.iwls Extract Model Coefficients from an '"iwls"' object
coef.kgaps Extract Model Coefficients from a '"kgaps"' object
coef.spm Extract Model Coefficients from an '"spm"' object
confint.kgaps Confidence intervals for the extremal index theta
confint.spm Confidence intervals for the extremal index theta
exdex exdex: Estimation of the Extremal Index
iwls Iterated weighted least squares estimation of the extremal index
kgaps Maximum likelihood estimation for the K-gaps model
kgaps_imt Information matrix test under the K-gaps model
kgaps_stat Sufficient statistics for the K-gaps model
newlyn Newlyn sea surges
nobs.iwls Extract the Number of Observations from an '"iwls"' object
nobs.kgaps Extract the Number of Observations from a '"kgaps"' object
nobs.spm Extract the Number of Observations from an '"spm"' object
plot.choose_b Plot block length diagnostic for the semiparametric maxima estimator
plot.choose_uk Plot Threshold u and runs parameter K diagnostic for the K-gaps estimator
plot.confint_spm Plot diagnostics for a confint_spm object
print.confint_spm Print method for a confint_spm object
print.iwls Print method for an '"iwls"' object
print.kgaps Print method for a '"kgaps"' object
print.spm Print method for an '"spm"' object
print.summary.kgaps Print method for objects of class '"summary.kgaps"'
print.summary.spm Print method for objects of class '"summary.spm"'
sp500 Daily log returns of the Standard and Poor (S&P) 500 index
spm Semiparametric maxima estimator of the extremal index
summary.kgaps Summary method for a '"kgaps"' object
summary.spm Summary method for an '"spm"' object
vcov.kgaps Calculate Variance-Covariance Matrix for a '"kgaps"' object
vcov.spm Calculate Variance-Covariance Matrix for an '"spm"' object