diff --git a/docs/pkgdown.yml b/docs/pkgdown.yml index 5396efa..2f105eb 100644 --- a/docs/pkgdown.yml +++ b/docs/pkgdown.yml @@ -3,5 +3,5 @@ pkgdown: 2.0.2 pkgdown_sha: ~ articles: exdex-vignette: exdex-vignette.html -last_built: 2022-04-15T15:14Z +last_built: 2022-04-15T15:32Z diff --git a/docs/reference/choose_ud-1.png b/docs/reference/choose_ud-1.png index 5c49e0e..d1343b0 100644 Binary files a/docs/reference/choose_ud-1.png and b/docs/reference/choose_ud-1.png differ diff --git a/docs/reference/choose_ud-2.png b/docs/reference/choose_ud-2.png index 1b8c3f3..0b6ef5c 100644 Binary files a/docs/reference/choose_ud-2.png and b/docs/reference/choose_ud-2.png differ diff --git a/docs/reference/choose_ud-3.png b/docs/reference/choose_ud-3.png index 4b62d77..3b91007 100644 Binary files a/docs/reference/choose_ud-3.png and b/docs/reference/choose_ud-3.png differ diff --git a/docs/reference/choose_ud-4.png b/docs/reference/choose_ud-4.png index d9a94f8..4b5d75f 100644 Binary files a/docs/reference/choose_ud-4.png and b/docs/reference/choose_ud-4.png differ diff --git a/docs/reference/choose_ud-5.png b/docs/reference/choose_ud-5.png index d7b8981..4901bc7 100644 Binary files a/docs/reference/choose_ud-5.png and b/docs/reference/choose_ud-5.png differ diff --git a/docs/reference/choose_ud.html b/docs/reference/choose_ud.html index 94e9cff..c32d82e 100644 --- a/docs/reference/choose_ud.html +++ b/docs/reference/choose_ud.html @@ -137,7 +137,7 @@

Examples

### S&P 500 index
 
 # Multiple thresholds and left-censoring parameters
-u <- quantile(sp500, probs = seq(0.1, 0.9, by = 0.1))
+u <- quantile(sp500, probs = seq(0.2, 0.9, by = 0.1))
 imt_theta <- choose_ud(sp500, u = u, D = 1:5)
 plot(imt_theta)
 
@@ -147,7 +147,7 @@ 
Examples

 
 
 # One left-censoring parameter D, many thresholds u
-u <- quantile(sp500, probs = seq(0.1, 0.9, by = 0.1))
+u <- quantile(sp500, probs = seq(0.2, 0.9, by = 0.1))
 imt_theta <- choose_ud(sp500, u = u, D = 1)
 plot(imt_theta)
 
diff --git a/docs/reference/exdex.html b/docs/reference/exdex.html
index aa40530..c82b555 100644
--- a/docs/reference/exdex.html
+++ b/docs/reference/exdex.html
@@ -77,11 +77,11 @@ 
Details

   are provided, namely
  • spm: semiparametric maxima estimator, using block
     maxima: (Northrop, 2015; Berghaus and Bucher, 2018)
    • 
 
  • kgaps: \(K\)-gaps estimator, using threshold
-    interexceedance times (Suveges and Davison, 2010)
    • 
+    inter-exceedance times (Suveges and Davison, 2010)
    
 
  • dgaps: \(D\)-gaps estimator, using threshold
-    interexceedance times (Holesovsky and Fusek, 2020))
    • 
+    inter-exceedance times (Holesovsky and Fusek, 2020))
    
 
  • iwls: iterated weighted least squares estimator,
-    using threshold interexceedance times: (Suveges, 2007)
    • 
+    using threshold inter-exceedance times: (Suveges, 2007)
    
 
The functions choose_b, choose_uk and
 choose_ud provide graphical diagnostics for choosing the
 respective tuning parameters of the semiparametric maxima, \(K\)-gaps and
@@ -89,7 +89,7 @@ 
Details

 
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 interexceedance times.

+incorporate information from censored inter-exceedance times.

 
See vignette("exdex-vignette", package = "exdex") for an
 overview of the package.
diff --git a/docs/reference/iwls.html b/docs/reference/iwls.html index 6454a7f..6d10565 100644 --- a/docs/reference/iwls.html +++ b/docs/reference/iwls.html @@ -108,9 +108,9 @@

Details

The model underlying this approach is an exponential-point mas mixture for scaled gaps, that is, gaps multiplied by the proportion of values in data that exceed u. Under this model - scaled gaps are zero (`within-cluster' interexceedance times) with + scaled gaps are zero (`within-cluster' inter-exceedance times) with probability \(1 - \theta\) and otherwise (`between-cluster' - interexceedance times) follow an exponential distribution with mean + inter-exceedance times) follow an exponential distribution with mean \(1 / \theta\). The estimation method is based on fitting the `broken stick' model of Ferro (2003) to an exponential quantile-quantile plot of all of the @@ -120,9 +120,9 @@

Details

Suveges (2007) uses a weighted least squares minimization applied to the exponential part of this model to seek a compromise between the role of \(\theta\) - as the proportion of interexceedance times that are between-cluster + as the proportion of inter-exceedance times that are between-cluster and the reciprocal of the mean of an exponential distribution for these - interexceedance times. The weights (see Ferro (2003)) are based on the + inter-exceedance times. The weights (see Ferro (2003)) are based on the variances of order statistics of a standard exponential sample: larger order statistics have larger sampling variabilities and therefore receive smaller weight than smaller order statistics.