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.

Package details

AuthorNadezda Frolova, Ivor Cribben
MaintainerNadezda Frolova <nfrolova@ualberta.ca>
Package repositoryView on CRAN
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extremogram documentation built on May 2, 2019, 8:22 a.m.