Package dev.nm.stat.evt.exi
Interface ExtremalIndexEstimation
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- All Known Implementing Classes:
ExtremalIndexByClusterSizeReciprocal
,ExtremalIndexByFerroSeegers
public interface ExtremalIndexEstimation
The extremal index \(\theta \in [0,1]\) characterizes the degree of local dependence in the extremes of a stationary time series. The index of 1 means that exceedances occur singly in the limit, while the index of value less than 1 implies that exceedances tend to occur in clusters. The extremal index can be interpreted as:- the reciprocal of the limiting mean number of exceedances in blocks (i.e., cluster size) with at least one exceedance; or
- the limiting probability that an exceedance is followed by a run of observations below the threshold; or
- the times between exceedances over a high threshold.
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description double
value(double[] observations)
Estimate the extremal index with the given observations from a distribution.
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