extremogram: Estimation of Extreme Value Dependence for Time Series Data

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.

Version: 1.0.2
Depends: R (≥ 3.1.0)
Imports: boot (≥ 1.3-11), MASS (≥ 7.3-31), parallel (≥ 3.1.1)
Published: 2016-10-08
DOI: 10.32614/CRAN.package.extremogram
Author: Nadezda Frolova, Ivor Cribben
Maintainer: Nadezda Frolova <nfrolova at ualberta.ca>
License: GPL-3
NeedsCompilation: no
CRAN checks: extremogram results


Reference manual: extremogram.pdf


Package source: extremogram_1.0.2.tar.gz
Windows binaries: r-devel: extremogram_1.0.2.zip, r-release: extremogram_1.0.2.zip, r-oldrel: extremogram_1.0.2.zip
macOS binaries: r-release (arm64): extremogram_1.0.2.tgz, r-oldrel (arm64): extremogram_1.0.2.tgz, r-release (x86_64): extremogram_1.0.2.tgz, r-oldrel (x86_64): extremogram_1.0.2.tgz
Old sources: extremogram archive


Please use the canonical form https://CRAN.R-project.org/package=extremogram to link to this page.