vcov method for class c("spm", "exdex").
and object of class c("spm", "exdex") returned from
spm.
A character scalar specifying whether to return the estimated variance of the estimator of the extremal index \(\theta\) based on sliding maxima or on disjoint maxima.
A character vector specifying which of the three variants
of the semiparametric maxima estimator to use: "N2015", "BB2018"
or "BB2018b". See spm for details.
If estimator = "all" then the
estimated variances of all variants are returned.
Further arguments. None are used.
A 1 by 1 numeric matrix if estimator = "N2015" or
"BB2018" and a vector of length 2 if estimator = "both",
containing the estimated variance(s) of the estimator(s).
Northrop, P. J. (2015) An efficient semiparametric maxima estimator of the extremal index. Extremes 18(4), 585-603. doi: 10.1007/s10687-015-0221-5
Berghaus, B., Bucher, A. (2018) Weak convergence of a pseudo maximum likelihood estimator for the extremal index. Ann. Statist. 46(5), 2307-2335. doi: 10.1214/17-AOS1621