extremogram1.0.2 package

Estimation of Extreme Value Dependence for Time Series Data

bootconf1

Confidence bands for the sample univariate extremogram

bootconf2

Confidence bands for the sample cross extremogram

bootconfr

Confidence bands for the sample return time extremogram

extremogram-package

extremogram

extremogram1

Sample univariate extremogram

extremogram2

Sample cross extremogram

extremogramr

Sample return time extremogram

permfn1

Confidence bands for the sample univariate extremogram

permfn2

Confidence bands for the sample cross extremogram

permfnr

Confidence bands for the sample return time extremogram

Download source packageRead PDF manual

Estimation of the sample univariate, cross and return time extremograms. The package can also adds empirical confidence bands to each of the extremogram plots via a permutation procedure under the assumption that the data are independent. Finally, the stationary bootstrap allows us to construct credible confidence bands for the extremograms.

  • Maintainer: Nadezda Frolova
  • License: GPL-3
  • Last published: 2016-10-08