Class ExtremalIndexByFerroSeegers

  • All Implemented Interfaces:
    ExtremalIndexEstimation

    public class ExtremalIndexByFerroSeegers
    extends Object
    implements ExtremalIndexEstimation
    This class estimates the extremal index from observations by the algorithm proposed by Ferro and Seegers.

    The R equivalent function is evd::exi.

    • Constructor Detail

      • ExtremalIndexByFerroSeegers

        public ExtremalIndexByFerroSeegers​(double threshold)
        Create an instance with the given threshold.
        Parameters:
        threshold - the threshold
    • Method Detail

      • value

        public double value​(double[] observations)
        Description copied from interface: ExtremalIndexEstimation
        Estimate the extremal index with the given observations from a distribution.
        Specified by:
        value in interface ExtremalIndexEstimation
        Parameters:
        observations - the observations
        Returns:
        the estimated extremal index \(\theta\)