SuanShu, a Java numerical and statistical library

com.numericalmethod.suanshu.stats.evt.exi

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
Modifier and Type Method and 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 $$\theta$$