M-exdex: Estimation of the Extremal Index

Matlab/Octave translation of the exdex R package

M-exdex

Matlab translation of the exdex R package (Estimation of the Extremal Index):

https://github.com/paulnorthrop/exdex/tree/master

https://paulnorthrop.github.io/exdex/

All code has only been minimally tested (but results mirror that of the R package) - use with caution

At present, only the functions for the extremal index calculation have been completed, in the future I will look to translating the rest of the package, such as the diagnostic plots. For full details about the theory, functions, and inputs, please refer to the original package.

Syntax is exdex.function(), the currently working functions are:

theta = exdex.spm(data, b, bias_adjust, constrain, varN, which_dj, nv);
theta = exdex.kgaps(data, u, k, inc_cens, nv);
theta = exdex.dgaps(data, u, D, inc_cens, nv);
theta = exdex.iwls(data, u, maxit, nv);
% 'nv' is name value argument 'disp' to specify whether to display output to command window or not.
% default is to display, specify 'disp', 'n' to not display.

All credit and thanks to authors of the original R package.