exindex                 package:evir                 R Documentation

_E_s_t_i_m_a_t_e _E_x_t_r_e_m_a_l _I_n_d_e_x

_D_e_s_c_r_i_p_t_i_o_n:

     Plot estimates of extremal index using the blocks method.

_U_s_a_g_e:

     exindex(data, block, start = 5, end = NA, reverse = FALSE,
         auto.scale = TRUE, labels = TRUE, ...)

_A_r_g_u_m_e_n_t_s:

    data: data vector (raw values not block maxima).

   block: 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"'.

   start: lowest value of K at which to plot a point; K is the number
          of blocks in which a specified threshold is exceeded

     end: highest value of K at which to plot a point

 reverse: whether plot is to be by increasing threshold ('TRUE') or
          increasing K value ('FALSE')

auto.scale: whether or not plot should be automatically scaled; if not,
          'xlim' and 'ylim' graphical parameters may be entered

  labels: whether or not axes should be labelled

     ...: other graphics parameters

_V_a_l_u_e:

     A table of results is returned invisibly.

_R_e_f_e_r_e_n_c_e_s:

     Embrechts, P., Klueppelberg, C., Mikosch, T. (1997). _Modelling
     Extremal Events_. Springer. Chapter 8, 413-429.

_S_e_e _A_l_s_o:

     'gev', 'hill', 'as.POSIXct'

_E_x_a_m_p_l_e_s:

     ## Not run: data(bmw)
     ## Not run: exindex(bmw, 100) 
     ## Not run: exindex(-bmw, 100) 
     # calculate extremal index for the right and left tails of the BMW 
     # log returns 

