Description Usage Arguments Value References Examples
The function estimates confidence bands for the sample univariate extremogram using the stationary bootstrap.
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x |
Univariate time series (a vector). |
R |
Number of bootstrap replications (an integer). |
l |
Mean block size for stationary bootstrap or mean of the geometric distribution used to generate resampling blocks (an integer that is not longer than the length of the time series). |
maxlag |
Number of lags to include in the extremogram (an integer). |
quant |
Quantile of the time series to indicate an extreme event (a number between 0 and 1). |
type |
Extremogram type (see function |
par |
If par = 1, the bootstrap replication procedure will be parallelized. If par = 0, no parallelization will be used. |
start |
The lag that the extremogram plots starts at (an integer not greater than |
cutoff |
The cutoff of the y-axis on the plot (a number between 0 and 1, default is 1). |
alpha |
Significance level for the confidence bands (a number between 0 and 1, default is 0.05). |
Returns a plot of the confidence bands for the sample univariate extremogram.
Davis, R. A., Mikosch, T., & Cribben, I. (2012). Towards estimating extremal serial dependence via the bootstrapped extremogram. Journal of Econometrics,170(1), 142-152.
Davis, R. A., Mikosch, T., & Cribben, I. (2011). Estimating extremal dependence in univariate and multivariate time series via the extremogram.arXiv preprint arXiv:1107.5592.
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