Interface | Description |
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ExtremalIndexEstimation |
The extremal index \(\theta \in [0,1]\) characterizes the degree of local dependence in the
extremes of a stationary time series.
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Class | Description |
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ExtremalIndexByClusterSizeReciprocal |
This class estimates the extremal index by the reciprocal of the average cluster size.
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ExtremalIndexByFerroSeegers |
This class estimates the extremal index from observations by the algorithm proposed by Ferro and
Seegers.
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