ExtremeIndexPlots {fExtremes} | R Documentation |
A collection and description of functions to compute
the extremal index by three different kind of methods,
the blocks method, the reciprocal mean cluster size
method, and the runs method.
The functiona are:
exindexPlot | Calculate and Plot Theta(1,2,3), |
exindexesPlot | Calculate Theta(1,2) and Plot Theta(1). |
exindexPlot(x, block = "month", start = 5, end = NA, plottype = c("thresh", "K"), labels = TRUE, autoscale = TRUE, ...) exindexesPlot(x, block = 20, quantiles = seq(0.990, 0.999, 0.001), doplot = TRUE, ...)
autoscale |
[exindexPlot] - whether or not plot should be automatically scaled; if not, xlim and ylim graphical parameters may be entered.
|
block |
the block size. A numeric value is interpreted as the number of
data values in each successive block.
All the data is used, so the last block may not contain block
observations.
If the x has a times attribute containing (in an
object of class "POSIXct" , or an object that can be
converted to that class; see as.POSIXct ) the
times/dates of each observation, then block may instead
take the character values "month" , "quarter" ,
"semester" or "year" .
Note, exindexPlot supports both numeric and character input,
exindexPlot supports only numeric input.
By default, monthly blocks or 20-day blocks are used which are
thought for daily data records.
|
doplot |
[exindexesPlot] - a logical, should the results be plotted? |
labels |
[exindexPlot] - whether or not axes should be labelled. |
plottype |
[exindexPlot] - whether plot is to be by increasing threshold ( thresh )
or increasing K value (K ).
|
quantiles |
[exindexesPlot] - a numeric vector of quantile values. |
start, end |
[exindexPlot] - start is the lowest value of K at which to plot
a point, and end the highest value; K is the
number of blocks in which a specified threshold is exceeded.
|
x |
a numeric vector, note raw values are required, not block maxima. |
... |
additional arguments passed to the plot function. |
exindexPlot
returns a data frame of results with the
following columns: N
, K
, un
, theta2
,
and theta
. A plot with K
on the lower x-axis and
threshold Values on the upper x-axis versus the extremal index
is displayed.
exindexesPlot
returns a data.frame with four columns:
thresholds
, theta1
, theta2
, and theta3
.
A plot with quantiles on the x-axis and versus the extremal indexes
is displayed.
Embrechts, P., Klueppelberg, C., Mikosch, T. (1997); Modelling Extremal Events, Springer. Chapter 8, 413–429.
## Extremal Index for the right and left tails ## of the BMW log returns: xmpExtremes("\nStart: Plot the Extremal Index >") data(bmw) par(mfrow = c(2, 2), cex = 0.7) exindexPlot( bmw, block = "quarter") exindexPlot(-bmw, block = "quarter") ## Extremal Index for the right and left tails ## of the BMW log returns: xmpExtremes("\nNext: Investigate Tail Depth Dependence >") data(bmw) exindexesPlot( bmw, block = 65) exindexesPlot(-bmw, block = 65)