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.
|Author||Nadezda Frolova, Ivor Cribben|
|Date of publication||2016-10-08 08:48:07|
|Maintainer||Nadezda Frolova <email@example.com>|
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
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
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