Package: exdex
Type: Package
Title: Estimation of the Extremal Index
Version: 1.1.1
Date: 2022-03-25
Authors@R: c(
    person(c("Paul", "J."), "Northrop", email = "p.northrop@ucl.ac.uk", 
      role = c("aut", "cre", "cph")),
    person("Constantinos", "Christodoulides", role = c("aut", "cph"))
    )
Description: Performs frequentist inference for the extremal index of a 
    stationary time series.  Two types of methodology are used.  One type is
    based on a model that relates the distribution of block maxima to the 
    marginal distribution of series and leads to the semiparametric maxima 
    estimators described in Northrop (2015) <doi:10.1007/s10687-015-0221-5> and 
    Berghaus and Bucher (2018) <doi:10.1214/17-AOS1621>.  Sliding block maxima
    are used to increase precision of estimation. A graphical block size 
    diagnostic is provided.  The other type of methodology uses a model for the 
    distribution of threshold inter-exceedance times (Ferro and Segers (2003) 
    <doi:10.1111/1467-9868.00401>). Two versions of this type of approach are 
    provided: the iterated weight least squares approach of Suveges (2007) 
    <doi:10.1007/s10687-007-0034-2> and the K-gaps model of 
    Suveges and Davison (2010) <doi:10.1214/09-AOAS292>. For the K-gaps model 
    this package allows missing values in the data, can accommodate 
    independent subsets of data, such as monthly or seasonal time series from 
    different years, and can incorporate information from censored 
    inter-exceedance times.  A graphical diagnostic for the threshold level and 
    the runs parameter K is provided.
Imports: chandwich, graphics, methods, Rcpp, RcppRoll, stats
License: GPL (>= 2)
Depends: R (>= 3.3.0)
Suggests: knitr, revdbayes, rmarkdown, testthat, zoo (>= 1.6.4)
LazyData: true
Encoding: UTF-8
RoxygenNote: 7.1.2
VignetteBuilder: knitr
URL: https://github.com/paulnorthrop/exdex,
        https://paulnorthrop.github.io/exdex/
BugReports: https://github.com/paulnorthrop/exdex/issues
LinkingTo: Rcpp, RcppArmadillo
NeedsCompilation: yes
Packaged: 2022-03-25 16:33:45 UTC; paul
Author: Paul J. Northrop [aut, cre, cph],
  Constantinos Christodoulides [aut, cph]
Maintainer: Paul J. Northrop <p.northrop@ucl.ac.uk>
Repository: CRAN
Date/Publication: 2022-03-25 16:50:06 UTC
Built: R 4.0.5; x86_64-apple-darwin17.0; 2022-03-26 10:25:11 UTC; unix
Archs: exdex.so.dSYM
