exindexPlots {fExtremes} | R Documentation |
This is a collection of functions to compute the extremal
index three different kind of methods, the blocks method,
the reciprocal mean cluster size method, and the runs
method.
The functiona are:
1 | exindexPlot | Calculate and Plot Theta(1,2,3), |
2 | 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)