exindex function

Estimate Extremal Index

Plot estimates of extremal index using the blocks method.

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

Arguments

• 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

Returns

A table of results is returned invisibly.

References

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

See Also

gev, hill, as.POSIXct

Examples

## 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