{"id":23509366,"url":"https://github.com/paulnorthrop/exdex","last_synced_at":"2026-04-29T01:32:06.696Z","repository":{"id":56926006,"uuid":"171165107","full_name":"paulnorthrop/exdex","owner":"paulnorthrop","description":"Estimation of the Extremal Index","archived":false,"fork":false,"pushed_at":"2026-02-13T00:38:36.000Z","size":15372,"stargazers_count":0,"open_issues_count":0,"forks_count":1,"subscribers_count":1,"default_branch":"master","last_synced_at":"2026-02-13T10:08:59.320Z","etag":null,"topics":["block-maxima","extremal-index","extreme","extreme-value-statistics","extremes","inference","maxima","semiparametric","semiparametric-estimation","semiparametric-maxima-estimators","theta","threshold","value"],"latest_commit_sha":null,"homepage":"https://paulnorthrop.github.io/exdex/","language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"gpl-3.0","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/paulnorthrop.png","metadata":{"files":{"readme":"README.Rmd","changelog":"NEWS.md","contributing":null,"funding":null,"license":"LICENSE.md","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null,"notice":null,"maintainers":null,"copyright":null,"agents":null,"dco":null,"cla":null}},"created_at":"2019-02-17T19:52:26.000Z","updated_at":"2026-02-13T00:38:40.000Z","dependencies_parsed_at":"2024-04-27T19:40:03.392Z","dependency_job_id":null,"html_url":"https://github.com/paulnorthrop/exdex","commit_stats":{"total_commits":627,"total_committers":1,"mean_commits":627.0,"dds":0.0,"last_synced_commit":"3cb98f50b9881608f1bf7ea0736c3b1a4ed75f67"},"previous_names":[],"tags_count":7,"template":false,"template_full_name":null,"purl":"pkg:github/paulnorthrop/exdex","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/paulnorthrop%2Fexdex","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/paulnorthrop%2Fexdex/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/paulnorthrop%2Fexdex/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/paulnorthrop%2Fexdex/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/paulnorthrop","download_url":"https://codeload.github.com/paulnorthrop/exdex/tar.gz/refs/heads/master","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/paulnorthrop%2Fexdex/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":32407164,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-04-28T19:38:08.556Z","status":"ssl_error","status_checked_at":"2026-04-28T19:37:55.688Z","response_time":56,"last_error":"SSL_read: unexpected eof while reading","robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":false,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["block-maxima","extremal-index","extreme","extreme-value-statistics","extremes","inference","maxima","semiparametric","semiparametric-estimation","semiparametric-maxima-estimators","theta","threshold","value"],"created_at":"2024-12-25T11:40:31.768Z","updated_at":"2026-04-29T01:32:06.684Z","avatar_url":"https://github.com/paulnorthrop.png","language":"R","funding_links":[],"categories":[],"sub_categories":[],"readme":"---\noutput: github_document\n---\n\n\u003c!-- README.md is generated from README.Rmd. Please edit that file --\u003e\n\n```{r, echo = FALSE}\nknitr::opts_chunk$set(\n  collapse = TRUE,\n  comment = \"#\u003e\",\n  fig.path = \"README-\"\n)\n```\n\n# exdex \u003ca href=\"https://paulnorthrop.github.io/exdex/\"\u003e\u003cimg src=\"man/figures/exdex_logo.png\" align=\"right\" style=\"float:right; height:150px;\" alt=\"exdex logo\"/\u003e\u003c/a\u003e\n\n[![R-CMD-check](https://github.com/paulnorthrop/exdex/actions/workflows/R-CMD-check.yaml/badge.svg)](https://github.com/paulnorthrop/exdex/actions/workflows/R-CMD-check.yaml)\n[![Coverage Status](https://codecov.io/github/paulnorthrop/exdex/coverage.svg?branch=master)](https://app.codecov.io/github/paulnorthrop/exdex?branch=master)\n[![CRAN_Status_Badge](https://www.r-pkg.org/badges/version/exdex)](https://cran.r-project.org/package=exdex)\n[![Downloads (monthly)](https://cranlogs.r-pkg.org/badges/exdex?color=brightgreen)](https://cran.r-project.org/package=exdex)\n[![Downloads (total)](https://cranlogs.r-pkg.org/badges/grand-total/exdex?color=brightgreen)](https://cran.r-project.org/package=exdex)\n\nSee also the translations of the main estimation functions of `exdex` into [Python: Py-exdex](https://github.com/LJ-Jenkins/Py-exdex) and [Matlab/Octave: M-exdex](https://github.com/LJ-Jenkins/M-exdex), courtesy of Luke Jenkins.\n\n## Estimation of the Extremal Index\n\n### What does exdex do?\n\nThe extremal index $\\theta$ is a measure of the degree of local dependence in the extremes of a stationary process.  The `exdex` package performs frequentist inference about $\\theta$ using two types of methodology.  \n\nOne type ([Northrop, 2015](https://doi.org/10.1007/s10687-015-0221-5)) is based on a model that relates the distribution of block maxima to the marginal distribution of the data, leading to a semiparametric maxima estimator.  Two versions of this type of estimator are provided, following [Northrop, 2015](https://doi.org/10.1007/s10687-015-0221-5) and [Berghaus and Bücher, 2018](https://doi.org/10.1214/17-AOS1621).  A slightly modified version of the latter is also provided.  Estimates are produced using both disjoint and sliding block maxima, the latter providing greater precision of estimation. A graphical block size diagnostic is provided.  \n\nThe other type of methodology uses a model for the distribution of threshold inter-exceedance times ([Ferro and Segers, 2003](https://doi.org/10.1111/1467-9868.00401)).  Three versions of this type of approach are provided: the iterated weight least squares approach of [Süveges (2007)](https://doi.org/10.1007/s10687-007-0034-2), the $K$-gaps model of [Süveges and Davison (2010)](https://doi.org/10.1214/09-AOAS292) and a similar approach of [Holesovsky and Fusek (2020)](https://doi.org/10.1007/s10687-020-00374-3) that we refer to as D-gaps. For the $K$-gaps and $D$-gaps models the `exdex` package allows missing values in the data, can accommodate independent subsets of data, such as monthly or seasonal time series from different years, and can incorporate information from censored inter-exceedance times. Graphical diagnostics for the threshold level and the respective tuning parameters $K$ and $D$ are provided.\n\n### A simple example\n\nThe following code estimates the extremal index using the semiparametric maxima estimators, for an example dataset containing a time series of sea surges measured at Newlyn, Cornwall, UK over the period 1971-1976.  The block size of 20 was chosen using a graphical diagnostic provided by `choose_b()`.\n\n```{r}\nlibrary(exdex)\ntheta \u003c- spm(newlyn, 20)\ntheta\nsummary(theta)\n```\n\nNow we estimate $\\theta$ using the $K$-gaps model. The threshold $u$ and runs parameter $K$ were chosen using the graphical diagnostic provided by `choose_uk()`.\n\n```{r}\nu \u003c- quantile(newlyn, probs = 0.60)\ntheta \u003c- kgaps(newlyn, u, k = 2)\ntheta\nsummary(theta)\n```\n\n### Installation\n\nTo get the current released version from CRAN:\n\n```{r installation, eval = FALSE}\ninstall.packages(\"exdex\")\n```\n\n### Vignette\n\nSee `vignette(\"exdex-vignette\", package = \"exdex\")` for an overview of the package.\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fpaulnorthrop%2Fexdex","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fpaulnorthrop%2Fexdex","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fpaulnorthrop%2Fexdex/lists"}