extremogram: Estimation of Extreme Value Dependence for Time Series Data

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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 <nfrolova@ualberta.ca>
License
GPL-3
Version
1.0.2

View on CRAN

Man pages

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
extremogram-package
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

Files in this package

extremogram
extremogram/NAMESPACE
extremogram/R
extremogram/R/permfn2.R
extremogram/R/permfnr.R
extremogram/R/extremogramr.R
extremogram/R/extremogram1.R
extremogram/R/extremogram2.R
extremogram/R/bootconfr.R
extremogram/R/permfn1.R
extremogram/R/bootconf1.R
extremogram/R/bootconf2.R
extremogram/R/garchsim.R
extremogram/MD5
extremogram/DESCRIPTION
extremogram/man
extremogram/man/extremogram2.Rd
extremogram/man/permfn1.Rd
extremogram/man/extremogram1.Rd
extremogram/man/bootconf2.Rd
extremogram/man/bootconfr.Rd
extremogram/man/bootconf1.Rd
extremogram/man/permfnr.Rd
extremogram/man/extremogramr.Rd
extremogram/man/permfn2.Rd
extremogram/man/extremogram-package.Rd