Empirical temporal extremogram

Usage

extremogram(sample, maxlag = 45, q = 0.95, plot = T)

Arguments

sample: A numerical vector to compute the extremogram
maxlag: An integer with the
q: A quantile level in (0,1).
plot: A logical value to plot the results

Value

A vector with the extremogram values

Details

The temporal extremogram $\chi_t$ is defined by $$\chi_t = \lim_{t \to \infty} \mathbb{P}( X_t > x | X_0 > x).$$ Its empirical version, computes the average number of exceedances of the q-th order statistic. As a baseline, the extremogram takes the value of 1-q at independent lags.

Examples

pre    <- tsExtremes::rainfall ## load rainfall data
sample <- na.omit(sample)      ## removes columns with missing values
sample <- tsExtremes::rmax(pre[pre$SEASON=='FALL' , 5:7]) ## computes vector-wise maxima
tsExtremes::extremogram(sample)
#> Error in tsExtremes::extremogram(sample): object 'n' not found