eiAnalyze              package:extRemes              R Documentation

_E_x_t_r_e_m_a_l _i_n_d_e_x _a_n_a_l_y_s_i_s

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

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

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

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

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

       x: 'n X 1' vector of data observations. 

thresholds: Single number, or 'm X 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.

_D_e_t_a_i_l_s:

     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'.

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

     Returns a list with the following components. 

     ei : 'm X 1' vector of the estimate(s) of the extremal index.

     ci : An 'm X 2' matrix giving the 'conf'*100 percent confidence
          limits for 'ei'.

      u : The threshold(s) used.

      nc: An 'n X 1' vector giving the number of clusters for each
          threshold choice.

run.length: An 'm X 1' vector giving the estimated run lengths.

_N_o_t_e:

     Maintained by Eric Gilleland.

_A_u_t_h_o_r(_s):

     Chris Ferro and Eric Gilleland

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

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

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

     'exi.intervals', 'decluster.intervals', 'boot.matrix',
     'boot.sequence'

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

     ## The function is currently defined as
     # function(x, thresholds=quantile(x, seq(0.900,0.995,by=0.005)), conf=0.95, iter=500)

