Interface ExtremalIndexEstimation

  • 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.
    • 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.
    • Method Detail

      • value

        double value​(double[] observations)
        Estimate the extremal index with the given observations from a distribution.
        Parameters:
        observations - the observations
        Returns:
        the estimated extremal index \(\theta\)